The first release-version ofbaqgarchutil
!
baq_nifunction
- takes a mGJR
-class object from mgarchBEKK::mGJR
and
applies a news impact function function. It returns a baq_nif
-class
object containing the relevant parameters and the impacted covariances
matricesbaq_niplot
- takes a baq_nif
-class object and creates a visual
interpretation of the resultsmv_ch_tests
- wrapper function for several tests to identify
conditional heteroscedasticity in multivariate time series.diag_mv_ch_model
is a wrapper function for several residual diagnostic
tests to determine model fit / adequacydiag_std_et
(and diag_std_et_cnd
) - functions to transform a time
series (and it's conditional covariance matrices) to standardized series
employed in mv_ch_tests
and diag_mv_ch_model
, also called in the
following diag_dufour_roy
-functiondiag_ljung_box
- the Ljung-Box Test Statistic for serial correlation in
uni- and multivariate time series (used in the above mentioned wrapper
functions)diag_dufour_roy
- the Rank-Based Test Statistic for serial correlation in
uni- and multivariate time series (used in the above mentioned wrapper
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