rmgarch

Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

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Description file content

Package
rmgarch
Type
Package
Title
Multivariate GARCH Models
Version
1.3-5
Date
2018-10-07
Author
Alexios Ghalanos
Maintainer
Alexios Ghalanos
Depends
R (>= 3.0.2), methods, rugarch, parallel
LinkingTo
Rcpp (>= 0.10.6), RcppArmadillo (>= 0.2.34)
Imports
Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor
Description
Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
Collate
rmgarch-var.R rmgarch-functions.R rmgarch-classes.R rmgarch-ica.R rmgarch-series.R rmgarch-mmean.R gogarch-classes.R gogarch-distributions.R gogarch-main.R gogarch-methods.R rdcc-classes.R rdcc-main.R rdcc-likelihoods.R rdcc-plots.R fdcc-likelihoods.R fdcc-main.R rdcc-methods.R rdcc-mdistributions.R rdcc-postestimation.R rdcc-solver.R copula-classes.R copula-distributions.R copula-likelihoods.R copula-solver.R copula-fn.R copula-transformations.R copula-main.R copula-postestimation.R copula-methods.R rmgarch-tests.R rmgarch-scenario.R zzz.R
LazyLoad
yes
URL
License
GPL-3
NeedsCompilation
yes
Packaged
2018-10-09 00:15:05 UTC; alexiosg
Repository
CRAN
Date/Publication
2018-10-09 04:40:03 UTC

install.packages('rmgarch')

1.3-5

2 months ago

http://www.unstarched.net

Alexios Ghalanos

GPL-3

Depends on

R (>= 3.0.2), methods, rugarch, parallel

Imports

Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor

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