Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH. See Boudt, Galanos, Payseur and Zivot (2019) for a review of multivariate GARCH models <doi:10.1016/bs.host.2019.01.001>.
| Version: |
1.3-7 |
| Depends: |
R (≥ 3.0.2), methods, rugarch, parallel |
| Imports: |
Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices, corpcor |
| LinkingTo: |
Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34) |
| Published: |
2019-09-13 |
| 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: |
README ChangeLog |
| In views: |
Finance |
| CRAN checks: |
rmgarch results |