mgarchBEKK: Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
Version 0.0.2

Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.

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Package details

AuthorHarald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
Date of publication2016-04-10 00:49:46
MaintainerVehbi Sinan Tunalioglu <>
Package repositoryView on CRAN
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mgarchBEKK documentation built on May 29, 2017, 7:50 p.m.