mgarchBEKK

Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes

CRAN Package

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

  • Version0.0.5
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release12/06/2022

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