sebinum/baqgarchutil: Analyse a Fitted baqGARCH Model
Provides some utility functions to analyse a fitted mGJR-GARCH (or baqGARCH) model from the mGJR() function in the 'mgarchBEKK' package. The key-features of baqgarchutil comprise of model diagnostics as well as applying and plotting a news impact function.
Getting started
Browse package contents
Package details |
|
|---|---|
| Maintainer | |
| License | GPL-3 |
| Version | 0.3.0 |
| URL | https://github.com/sebinum/baqgarchutil |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
|
