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.

Install the latest version of this package by entering the following in R:
install.packages("mgarchBEKK")
AuthorHarald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
Date of publication2016-04-10 00:49:46
MaintainerVehbi Sinan Tunalioglu <vst@vsthost.com>
LicenseGPL-3
Version0.0.2
https://github.com/vst/mgarchBEKK/

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Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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