rmgarch: Multivariate GARCH models

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

Version: 1.2-6
Depends: R (≥ 3.0.2), methods, rugarch
Imports: Rsolnp, MASS, parallel, Matrix, zoo, xts, Bessel, ff, fftw, shape, pcaPP, spd, Rcpp
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Published: 2014-01-25
Author: Alexios Ghalanos
Maintainer: Alexios Ghalanos <alexios at 4dscape.com>
License: GPL-3
Copyright: see file COPYRIGHTS
URL: http://www.unstarched.net, https://r-forge.r-project.org/projects/teatime/
NeedsCompilation: yes
Citation: rmgarch citation info
Materials: ChangeLog
In views: Finance, TimeSeries
CRAN checks: rmgarch results

Downloads:

Reference manual: rmgarch.pdf
Vignettes: The rmgarch models: Background and properties
Package source: rmgarch_1.2-6.tar.gz
MacOS X binary: rmgarch_1.2-6.tgz
Windows binary: rmgarch_1.2-6.zip
Old sources: rmgarch archive