GARCHSK: Estimating a GARCHSK Model and GJRSK Model
Functions for estimating a GARCHSK model and GJRSK model based on a publication by Leon et,al (2005)<doi:10.1016/j.qref.2004.12.020> and Nakagawa and Uchiyama (2020)<doi:10.3390/math8111990>. These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.
| Version: | 0.1.0 |
| Imports: | stats, Rsolnp |
| Published: | 2021-07-22 |
| DOI: | 10.32614/CRAN.package.GARCHSK |
| Author: | Kei Nakagawa 
[aut, cre] |
| Maintainer: | Kei Nakagawa <kei.nak.0315 at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | GARCHSK results |
Documentation:
| Reference manual: | GARCHSK.pdf |
Downloads:
| Package source: | GARCHSK_0.1.0.tar.gz |
| Windows binaries: | r-devel: GARCHSK_0.1.0.zip, r-release: GARCHSK_0.1.0.zip, r-oldrel: GARCHSK_0.1.0.zip |
| macOS binaries: | r-release (arm64): GARCHSK_0.1.0.tgz, r-oldrel (arm64): GARCHSK_0.1.0.tgz, r-release (x86_64): GARCHSK_0.1.0.tgz, r-oldrel (x86_64): GARCHSK_0.1.0.tgz |
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