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.

Getting started

Package details

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

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mgarchBEKK documentation built on May 29, 2017, 7:50 p.m.