CRAN
VIRF 0.1.0
Computation of Volatility Impulse Response Function of Multivariate Time Series
Released May 1, 2019 by Dr. Ranjit Kumar Paul
This package cannot yet be used with Renjin it depends on other packages which are not available: matlib 0.9.1, rmgarch 1.3-6, and ks 1.11.4
Dependencies
matlib 0.9.1 ks 1.11.4 rmgarch 1.3-6 gnm 1.1-0 expm 0.999-4 matrixcalc 1.0-3 BigVAR 1.0.4 mgarchBEKK 0.0.2
Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012)