rmgarch: Multivariate GARCH models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Version: 1.2-8
Depends: R (≥ 3.0.2), methods, rugarch
Imports: Rsolnp, MASS, parallel, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2014-06-30
Author: Alexios Ghalanos
Maintainer: Alexios Ghalanos <alexios at 4dscape.com>
License: GPL-3
URL: http://www.unstarched.net, https://bitbucket.org/alexiosg
NeedsCompilation: yes
Citation: NA
Materials: NA
In views: Finance, TimeSeries
CRAN checks: rmgarch results

Downloads:

Reference manual: rmgarch.pdf
Vignettes: The rmgarch models: Background and properties
Package source: rmgarch_1.2-8.tar.gz
Windows binaries: r-devel: rmgarch_1.2-8.zip, r-release: rmgarch_1.2-8.zip, r-oldrel: rmgarch_1.2-8.zip
OS X Snow Leopard binaries: r-release: rmgarch_1.2-8.tgz, r-oldrel: rmgarch_1.2-8.tgz
OS X Mavericks binaries: r-release: rmgarch_1.2-8.tgz
Old sources: rmgarch archive