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.

Version: 0.1.0
Imports: stats, Rsolnp
Published: 2021-07-22
Author: Kei Nakagawa ORCID iD [aut, cre]
Maintainer: Kei Nakagawa <kei.nak.0315 at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: GARCHSK results

Documentation:

Reference manual: GARCHSK.pdf

Downloads:

Package source: GARCHSK_0.1.0.tar.gz
Windows binaries: r-devel: GARCHSK_0.1.0.zip, r-release: GARCHSK_0.1.0.zip, r-oldrel: GARCHSK_0.1.0.zip
macOS binaries: r-release (arm64): GARCHSK_0.1.0.tgz, r-release (x86_64): GARCHSK_0.1.0.tgz, r-oldrel: GARCHSK_0.1.0.tgz

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