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
GARCHSK_0.1.0.zip(r-4.7-any)GARCHSK_0.1.0.zip(r-4.6-any)GARCHSK_0.1.0.zip(r-4.5-any)
GARCHSK_0.1.0.tgz(r-4.6-any)GARCHSK_0.1.0.tgz(r-4.5-any)
GARCHSK_0.1.0.tar.gz(r-4.7-any)GARCHSK_0.1.0.tar.gz(r-4.6-any)
GARCHSK_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
GARCHSK/json (API)

# Install 'GARCHSK' in R:
install.packages('GARCHSK', repos = c('https://keeeeei0315.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • GBP - GBP/USD exchange rate from 1990-01-03 to 2002-5-3 from Bloomberg.

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.60 score 4 stars 5 scripts 433 downloads 12 exports 12 dependencies

Last updated from:cafb15069c. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK96
source / vignettesOK152
linux-releaseOK95
macos-releaseOK150
macos-oldrelOK137
windows-develOK51
windows-releaseOK54
windows-oldrelOK57
wasm-releaseOK92

Exports:garchsk_constructgarchsk_estgarchsk_fcstgarchsk_ineqfungarchsk_likgjrsk_constructgjrsk_estgjrsk_fcstgjrsk_ineqfungjrsk_likkurtosisskewness

Dependencies:codetoolsdigestfuturefuture.applyglobalslistenvnumDerivparallellyRcppRcppArmadilloRsolnptruncnorm