CRAN

mgarchBEKK 0.0.2

Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes

Released Apr 10, 2016 by Vehbi Sinan Tunalioglu

This package is available for Renjin and there are no known compatibility issues.

Dependencies

mvtnorm 1.0-6 tseries 0.10-42

Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>mgarchBEKK</artifactId>
    <version>0.0.2-b39</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:mgarchBEKK')

Test Results

This package was last tested against Renjin 0.8.2543 on Dec 17, 2017.

Source

R
C

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Release History