mgarchBEKK

cranv0.0.5

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.

License GPL-3strong copyleft0 versions1 maintainers2 deps102 weekly dl
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First published · 2022-12-06 09:20:44

Last updated · 2022-12-06T06:50:02+00:00