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.


Reference manual

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0.1.0 by Kei Nakagawa, 4 months ago

Browse source code at

Authors: Kei Nakagawa [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports stats, Rsolnp

See at CRAN