rmgarch: Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH. See Boudt, Galanos, Payseur and Zivot (2019) for a review of multivariate GARCH models <doi:10.1016/bs.host.2019.01.001>.

Package details

AuthorAlexios Ghalanos <alexios@4dscape.com>
MaintainerAlexios Ghalanos <alexios@4dscape.com>
URL http://www.unstarched.net https://bitbucket.org/alexiosg
Package repositoryView on CRAN
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rmgarch documentation built on Sept. 13, 2019, 5:04 p.m.