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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

406

Version

0.0.1

License

GPL-3

Issues

1

Pull Requests

0

Stars

15

Forks

6

Maintainer

Vehbi Sinan Tunalioglu

Last Published

March 2nd, 2016

Functions in mgarchBEKK (0.0.1)

BEKK

Provide the MGARCH-BEKK estimation procedure.
mGJR

Provide the MGARCH-BEKK estimation procedure.
simulateBEKK

Provides a procedure to simulate BEKK processes.
diagnoseBEKK

Provides diagnostics for a BEKK process estimation.