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

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.

Installation

The package is on CRAN:

install.packages("mgarchBEKK")

However, you can still install the package straight from out GitHub repository. The easiest way is to use devtools:

install.packages("devtools")

For the master branch which is usually the same as the CRAN version:

install_github("vst/mgarchBEKK")

For the develop branch which is the latest development version:

install_github("vst/mgarchBEKK", ref="develop")

Usage

## 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])

LICENSE

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/>.

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Reference manual

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install.packages("mgarchBEKK")

0.0.2 by Vehbi Sinan Tunalioglu, 3 years ago


https://github.com/vst/mgarchBEKK/


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


Authors: Harald Schmidbauer [aut] , Angi Roesch [aut] , Vehbi Sinan Tunalioglu [cre, aut]


Documentation:   PDF Manual  


GPL-3 license


Depends on tseries, mvtnorm

Suggests testthat, devtools, roxygen2


See at CRAN