rmgarch: Multivariate GARCH Models (original) (raw)
Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
| Version: | 1.3-9 |
|---|---|
| Depends: | R (≥ 3.0.2), methods, rugarch (≥ 1.4-7), parallel |
| Imports: | Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor |
| LinkingTo: | Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34) |
| Published: | 2022-02-05 |
| DOI: | 10.32614/CRAN.package.rmgarch |
| Author: | Alexios Galanos |
| Maintainer: | Alexios Galanos <alexios at 4dscape.com> |
| License: | GPL-3 |
| Copyright: | see file |
| URL: | http://www.unstarched.net, https://github.com/alexiosg/rmgarch |
| NeedsCompilation: | yes |
| Citation: | rmgarch citation info |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | rmgarch results |
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