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 [aut, cre]
Maintainer:	Kei Nakagawa <kei.nak.0315 at gmail.com>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	no
In views:	Finance
CRAN checks:	GARCHSK results

Documentation:

Reference manual:

GARCHSK.html , GARCHSK.pdf

Downloads:

Package source:	GARCHSK_0.1.0.tar.gz
Windows binaries:	r-devel: GARCHSK_0.1.0.zip, r-release: GARCHSK_0.1.0.zip, r-oldrel: GARCHSK_0.1.0.zip
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

Linking:

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