GARCHSK
Estimating a GARCHSK Model and GJRSK Model
Functions for estimating a GARCHSK model and GJRSK model based on a publication by Leon et,al (2005)<doi:10.1016/j.qref.2004.12.020> and Nakagawa and Uchiyama (2020)<doi:10.3390/math8111990>. These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling source/ R- | GARCHSK_0.1.0.tar.gz |
36.0 KiB |
0.1.0 |
rolling linux/jammy R-4.5 | GARCHSK_0.1.0.tar.gz |
74.1 KiB |
0.1.0 |
latest source/ R- | GARCHSK_0.1.0.tar.gz |
36.0 KiB |
0.1.0 |
latest linux/jammy R-4.5 | GARCHSK_0.1.0.tar.gz |
74.1 KiB |
0.1.0 |
2026-04-23 source/ R- | GARCHSK_0.1.0.tar.gz |
36.0 KiB |
0.1.0 |
2026-04-09 windows/windows R-4.5 | GARCHSK_0.1.0.zip |
77.5 KiB |
0.1.0 |
2025-04-20 source/ R- | GARCHSK_0.1.0.tar.gz |
36.0 KiB |