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_0.1.0.tgz(r-4.4-any)GARCHSK_0.1.0.tgz(r-4.3-any)
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GARCHSK.pdf |GARCHSK.html✨
GARCHSK/json (API)

# Install 'GARCHSK' in R:
install.packages('GARCHSK', repos = c('https://keeeeei0315.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • GBP - GBP/USD exchange rate from 1990-01-03 to 2002-5-3 from Bloomberg.

On CRAN:

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

1.30 score 2 stars 3 scripts 262 downloads 12 exports 2 dependencies

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

TargetResultDate
Doc / VignettesOKNov 08 2024
R-4.5-winOKNov 08 2024
R-4.5-linuxOKNov 08 2024
R-4.4-winOKNov 08 2024
R-4.4-macOKNov 08 2024
R-4.3-winOKNov 08 2024
R-4.3-macOKNov 08 2024

Exports:garchsk_constructgarchsk_estgarchsk_fcstgarchsk_ineqfungarchsk_likgjrsk_constructgjrsk_estgjrsk_fcstgjrsk_ineqfungjrsk_likkurtosisskewness

Dependencies:Rsolnptruncnorm