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: 0.0.5
Depends: R (≥ 3.2.3), tseries, mvtnorm
Suggests: testthat, devtools, roxygen2
Published: 2022-12-06
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 NEWS
CRAN checks: mgarchBEKK results


Reference manual: mgarchBEKK.pdf


Package source: mgarchBEKK_0.0.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): mgarchBEKK_0.0.5.tgz, r-oldrel (arm64): mgarchBEKK_0.0.5.tgz, r-release (x86_64): mgarchBEKK_0.0.5.tgz, r-oldrel (x86_64): mgarchBEKK_0.0.5.tgz
Old sources: mgarchBEKK archive

Reverse dependencies:

Reverse imports: VIRF


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