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.

Author
Harald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
Date of publication
2016-04-10 00:49:46
Maintainer
Vehbi Sinan Tunalioglu <vst@vsthost.com>
License
GPL-3
Version
0.0.2
URLs

View on CRAN

Man pages

BEKK
Estimate MGARCH-BEKK processes
diagnoseBEKK
Diagnose BEKK process estimation
mGJR
Bivariate GJR Estimation
simulateBEKK
Simulate BEKK processes

Files in this package

mgarchBEKK
mgarchBEKK/COPYING
mgarchBEKK/src
mgarchBEKK/src/loglikelihood.c
mgarchBEKK/src/matrixlib.c
mgarchBEKK/src/matrixlib.h
mgarchBEKK/src/loglikelihood.h
mgarchBEKK/src/loglikelihood_GJR.c
mgarchBEKK/NAMESPACE
mgarchBEKK/R
mgarchBEKK/R/BEKK.R
mgarchBEKK/R/mGJR.R
mgarchBEKK/README.md
mgarchBEKK/MD5
mgarchBEKK/DESCRIPTION
mgarchBEKK/ChangeLog
mgarchBEKK/man
mgarchBEKK/man/simulateBEKK.Rd
mgarchBEKK/man/mGJR.Rd
mgarchBEKK/man/diagnoseBEKK.Rd
mgarchBEKK/man/BEKK.Rd