Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.
| Version: |
1.2-8 |
| Depends: |
R (≥ 3.0.2), methods, rugarch |
| Imports: |
Rsolnp, MASS, parallel, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp |
| LinkingTo: |
Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34) |
| Published: |
2014-06-30 |
| Author: |
Alexios Ghalanos |
| Maintainer: |
Alexios Ghalanos <alexios at 4dscape.com> |
| License: |
GPL-3 |
| Copyright: |
see file COPYRIGHTS |
| URL: |
http://www.unstarched.net, https://bitbucket.org/alexiosg |
| NeedsCompilation: |
yes |
| Citation: |
rmgarch citation info |
| Materials: |
ChangeLog |
| In views: |
Finance, TimeSeries |
| CRAN checks: |
rmgarch results |