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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.

Version: 0.0.5
Depends: R (≥ 3.2.3), tseries, mvtnorm
Suggests: testthat, devtools, roxygen2
Published: 2022-12-06
DOI: 10.32614/CRAN.package.mgarchBEKK
Author: Harald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
Maintainer: Vehbi Sinan Tunalioglu <vst at vsthost.com>
License: GPL-3
URL: https://github.com/vst/mgarchBEKK/
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: mgarchBEKK results

Documentation:

Reference manual: mgarchBEKK.pdf

Downloads:

Package source: mgarchBEKK_0.0.5.tar.gz
Windows binaries: r-devel: mgarchBEKK_0.0.5.zip, r-release: mgarchBEKK_0.0.5.zip, r-oldrel: mgarchBEKK_0.0.5.zip
macOS binaries: r-release (arm64): mgarchBEKK_0.0.5.tgz, r-oldrel (arm64): mgarchBEKK_0.0.5.tgz, r-release (x86_64): mgarchBEKK_0.0.5.tgz, r-oldrel (x86_64): mgarchBEKK_0.0.5.tgz
Old sources: mgarchBEKK archive

Reverse dependencies:

Reverse imports: VIRF

Linking:

Please use the canonical form https://CRAN.R-project.org/package=mgarchBEKK to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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