vst/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
Browse package contents
Package details |
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| Maintainer | |
| License | GPL-3 |
| Version | 0.0.5.9000 |
| URL | https://github.com/vst/mgarchBEKK/ |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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