GARCHSK: 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)<doi:10.1016/j.qref.2004.12.020> and Nakagawa and Uchiyama (2020)<doi:10.3390/math8111990>. These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.

Version: 0.1.0
Imports: stats, Rsolnp
Published: 2021-07-22
DOI: 10.32614/CRAN.package.GARCHSK
Author: Kei Nakagawa ORCID iD [aut, cre]
Maintainer: Kei Nakagawa <kei.nak.0315 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
In views: Finance
CRAN checks: GARCHSK results


Reference manual: GARCHSK.pdf


Package source: GARCHSK_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): GARCHSK_0.1.0.tgz, r-oldrel (arm64): GARCHSK_0.1.0.tgz, r-release (x86_64): GARCHSK_0.1.0.tgz, r-oldrel (x86_64): GARCHSK_0.1.0.tgz


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