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