mgarchBEKK (version 0.0.1)

mGJR: Provide the MGARCH-BEKK estimation procedure.

Description

Provide the MGARCH-BEKK estimation procedure.

Usage

mGJR(eps1, eps2, order = c(1, 1, 1), params = NULL, fixed = NULL,
  method = "BFGS")

Arguments

eps1

First time series.

eps2

Second time series.

order

mGJR(p, q, g) order

params

Initial parameters for the optim function.

fixed

Vector of parameters to be fixed.

method

The method that will be used by the optim function.

Value

• Estimation results packaged as mGJR class instance.