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) and Nakagawa and Uchiyama (2020). These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.


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Reference manual

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install.packages("GARCHSK")

0.1.0 by Kei Nakagawa, 11 days ago


Browse source code at https://github.com/cran/GARCHSK


Authors: Kei Nakagawa [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats, Rsolnp


See at CRAN