VIRF: Computation of Volatility Impulse Response Function of Multivariate Time Series (original) (raw)
Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) <doi:10.1016/j.eneco.2012.03.003>.
| Version: | 0.1.1 |
|---|---|
| Imports: | stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib |
| Published: | 2025-08-29 |
| DOI: | 10.32614/CRAN.package.VIRF |
| Author: | Dr. Ranjit Kumar Paul [aut, cre], Dr. Md Yeasin [aut], Mr. Ankit Tanwar [aut] |
| Maintainer: | Dr. Ranjit Kumar Paul |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: | no |
| CRAN checks: | VIRF results |
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