Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
| Version: |
1.3-9 |
| Depends: |
R (≥ 3.0.2), methods, rugarch (≥ 1.4-7), parallel |
| Imports: |
Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor |
| LinkingTo: |
Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34) |
| Published: |
2022-02-05 |
| Author: |
Alexios Galanos |
| Maintainer: |
Alexios Galanos <alexios at 4dscape.com> |
| License: |
GPL-3 |
| Copyright: |
see file COPYRIGHTS |
| URL: |
http://www.unstarched.net, https://github.com/alexiosg/rmgarch |
| NeedsCompilation: |
yes |
| Citation: |
rmgarch citation info |
| Materials: |
README ChangeLog |
| In views: |
Finance |
| CRAN checks: |
rmgarch results |