VIRF

cranv0.1.1

Computation of Volatility Impulse Response Function of Multivariate Time Series. Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) <doi:10.1016/j.eneco.2012.03.003>.

License GPLstrong copyleft0 versions1 maintainers9 deps3,264 weekly dl
https://CRAN.R-project.org/package=VIRF
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10/25
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6/20
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25/25
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Dependencies (9)
statsrmgarchmgarchBEKKgnmexpmBigVARksmatrixcalcmatlib
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First published · 2025-08-29 13:15:52

Last updated · 2025-08-29T12:10:08+00:00