Package: GARCHSK 0.1.0

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.

Authors:Kei Nakagawa [aut, cre]

GARCHSK_0.1.0.tar.gz
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GARCHSK.pdf |GARCHSK.html✨
GARCHSK/json (API)

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12 exports 1 stars 0.09 score 2 dependencies 3 scripts 330 downloads

Last updated 3 years agofrom:cafb15069c. Checks:OK: 7. Indexed: yes.

Exports:garchsk_constructgarchsk_estgarchsk_fcstgarchsk_ineqfungarchsk_likgjrsk_constructgjrsk_estgjrsk_fcstgjrsk_ineqfungjrsk_likkurtosisskewness

Dependencies:Rsolnptruncnorm