betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).

Package details

AuthorGenaro Sucarrat [aut, cre]
MaintainerGenaro Sucarrat <genaro.sucarrat@bi.no>
LicenseGPL-2
Version3.4
URL https://www.sucarrat.net/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("betategarch")

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betategarch documentation built on April 3, 2025, 9:54 p.m.