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

Documentation

Manual: mgarchBEKK.pdf
Vignette: None available.

Maintainer: Vehbi Sinan Tunalioglu <vst at vsthost.com>

Author(s): Harald Schmidbauer*, Angi Roesch*, Vehbi Sinan Tunalioglu*

Install package and any missing dependencies by running this line in your R console:

install.packages("mgarchBEKK")

Depends R (>= 3.2.3), tseries, mvtnorm
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Package mgarchBEKK
Materials
URL https://github.com/vst/mgarchBEKK/
Task Views
Version 0.0.2
Published 2016-04-10
License GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks mgarchBEKK check results
Package source mgarchBEKK_0.0.2.tar.gz