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

Package details

Maintainer
LicenseGPL-3
Version0.3.0
URL https://github.com/sebinum/baqgarchutil
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("sebinum/baqgarchutil")
sebinum/baqgarchutil documentation built on May 8, 2019, 11:58 p.m.