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mgarchBEKK

swMATH ID: 39775
Software Authors: Harald Schmidbauer, Angi Roesch, Vehbi Sinan Tunalioglu
Description: R package mgarchBEKK: 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.
Homepage: https://cran.r-project.org/web/packages/mgarchBEKK/index.html
Dependencies: R
Related Software: RStan; Stan; rmgarch; R; bmgarch; CRAN
Referenced in: 0 Publications