r-mgarchbekk

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

Versions

To install this package, run one of the following:

$conda install r_test::r-mgarchbekk

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Summary

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

Last Updated

Dec 13, 2019 at 20:31

License

GPL-3

Total Downloads

Supported Platforms

linux-64

macOS-64

win-64

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