GARCHSK

cranv0.1.0

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.

License GPL (>= 2)0 versions1 maintainers2 deps87 weekly dl
https://CRAN.R-project.org/package=GARCHSK
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First published · 2021-07-22 08:44:42

Last updated · 2021-07-22T06:00:07+00:00