GARCHSK (version 0.1.0)

Estimating a GARCHSK Model and GJRSK Model

Description

Functions for estimating a GARCHSK model and GJRSK model based on a publication by Leon et,al (2005) and Nakagawa and Uchiyama (2020). These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.

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Version

Install

install.packages('GARCHSK')

Monthly Downloads

254

Version

0.1.0

License

GPL (>= 2)

Maintainer

Kei Nakagawa

Last Published

July 22nd, 2021

Functions in GARCHSK (0.1.0)

garchsk_fcst

This function forcasts conditional mean,variance,skewness and kurtosis with given GARCHSK model.

garchsk_ineqfun

This function is inequality equation of GARCHSK parameters used in optimization process(Rsolnp).

gjrsk_est

This function estimates GJRSK model's parameters.

gjrsk_fcst

This function forcasts conditional mean,variance,skewness and kurtosis with given GJRSK model.

garchsk_construct

This function constructs GARCHSK model of given data and parameters.

GARCHSK

GBP

GBP/USD exchange rate from 1990-01-03 to 2002-5-3 from Bloomberg.

gjrsk_construct

This function constructs GJRSK model of given data and parameters.

garchsk_lik

This function calculates the log-likelihood of GARCHSK model.

gjrsk_ineqfun

This function is inequality equation of GJRSK parameters used in optimization process(Rsolnp).

gjrsk_lik

This function calculates the log-likelihood of GJRSK model.

garchsk_est

This function estimates GARCHSK model's parameters.

kurtosis

This function calculates kurtosis of given data.

skewness

This function calculates skewness of given data.