Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.
mgarchBEKK is an R Package designed to simulate, estimate, predict and diagnose MGARCH processes, in particular of BEKK and mGJR (bivariate asymmetric GARCH) specifications.
time. The original codebase is currently available on https://github.com/vst/mgarch. The objective is to standardize the simulation, estimation, prediction/forecasting and diagnostics processes and optimize for speed in the long run. Therefore, please expect significant API changes, ie. function names, parameters and their meaning may change along the way.
TODO: Provide a complete README file.
The package is on CRAN:
However, you can still install the package straight from out GitHub repository. The easiest way is to use devtools:
master branch which is usually the same as the
develop branch which is the latest development version:
## Load the library: library(mgarchBEKK) ## Simulate a BEKK process: simulated <- simulateBEKK(2, 1000, c(1,1)) ## Prepare the input for the estimation process: simulated <- do.call(cbind, simulated$eps) ## Estimate with default arguments: estimated <- BEKK(simulated) ## Show diagnostics: diagnoseBEKK(estimated) ## Likewise, you can estimate an mGJR process: estimated2 <- mGJR(simulated[,1], simulated[,2])
This R library is licensed under GPLv3.
mgarchBEKK - Simulating, Estimating & Diagnosing BEKK/mGJR Processes Copyright (C) 2004-2016 Harald Schmidbauer, Angi Roesch, Vehbi Sinan Tunalioglu This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program. If not, see <http://www.gnu.org/licenses/>.