rmgarch (1.3-7)
Multivariate GARCH Models.
http://www.unstarched.net
https://bitbucket.org/alexiosg
http://cran.r-project.org/web/packages/rmgarch
Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH. See Boudt, Galanos, Payseur and Zivot (2019) for a review of multivariate GARCH models .
Maintainer:
Alexios Ghalanos
Author(s): Alexios Ghalanos <alexios@4dscape.com>
License: GPL-3
Uses: Bessel, corpcor, ff, MASS, Matrix, pcaPP, Rcpp, Rsolnp, rugarch, shape, spd, xts, zoo
Reverse suggests: covmat
Released 3 months ago.
