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mgarchBEKK: Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.
Getting started
Browse package contents
Package details |
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| Author | Harald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut] |
| Maintainer | Vehbi Sinan Tunalioglu <vst@vsthost.com> |
| License | GPL-3 |
| Version | 0.0.5 |
| URL | https://github.com/vst/mgarchBEKK/ |
| Package repository | View on CRAN |
| Installation |
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