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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.

Versions across snapshots

VersionRepositoryFileSize
0.0.5 rolling linux/jammy R-4.5 mgarchBEKK_0.0.5.tar.gz 75.9 KiB
0.0.5 rolling linux/noble R-4.5 mgarchBEKK_0.0.5.tar.gz 76.2 KiB
0.0.5 rolling source/ R- mgarchBEKK_0.0.5.tar.gz 23.9 KiB
0.0.5 latest linux/jammy R-4.5 mgarchBEKK_0.0.5.tar.gz 75.9 KiB
0.0.5 latest linux/noble R-4.5 mgarchBEKK_0.0.5.tar.gz 76.2 KiB
0.0.5 latest source/ R- mgarchBEKK_0.0.5.tar.gz 23.9 KiB
0.0.5 2026-04-26 source/ R- mgarchBEKK_0.0.5.tar.gz 23.9 KiB
0.0.5 2026-04-23 source/ R- mgarchBEKK_0.0.5.tar.gz 23.9 KiB
0.0.5 2026-04-09 windows/windows R-4.5 mgarchBEKK_0.0.5.zip 83.6 KiB
0.0.5 2025-04-20 source/ R- mgarchBEKK_0.0.5.tar.gz 23.9 KiB

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