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.

Getting started

Package details

AuthorHarald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
MaintainerVehbi Sinan Tunalioglu <>
Package repositoryView on CRAN
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mgarchBEKK documentation built on May 2, 2019, 6:33 a.m.