r-mgarchbekk
Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.
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Summary
Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.
Information Last Updated
Apr 22, 2025 at 15:32
License
GPL-3
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6
Platforms
Linux 64 Version: 0.0.2
macOS 64 Version: 0.0.2
Win 64 Version: 0.0.2