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

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

Version: 0.0.2
Depends: R (≥ 3.2.3), tseries, mvtnorm
Suggests: testthat, devtools, roxygen2
Published: 2016-04-10
Author: Harald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
Maintainer: Vehbi Sinan Tunalioglu <vst at>
License: GPL-3
NeedsCompilation: yes
Materials: README ChangeLog
CRAN checks: mgarchBEKK results


Reference manual: mgarchBEKK.pdf
Package source: mgarchBEKK_0.0.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: mgarchBEKK_0.0.2.tgz, r-oldrel: mgarchBEKK_0.0.2.tgz
Old sources: mgarchBEKK archive

Reverse dependencies:

Reverse imports: VIRF


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