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mgarchBEKK (version 0.0.1)

Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes

Description

Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.

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Install

install.packages('mgarchBEKK')

Monthly Downloads

449

Version

0.0.1

License

GPL-3

Issues

1

Pull Requests

0

Stars

14

Forks

6

Maintainer

Vehbi Sinan Tunalioglu

Last Published

March 2nd, 2016

Functions in mgarchBEKK (0.0.1)