GARCHSK0.1.0 package

Estimating a GARCHSK Model and GJRSK Model

GARCHSK

GARCHSK

garchsk_construct

This function constructs GARCHSK model of given data and parameters.

garchsk_est

This function estimates GARCHSK model's parameters.

garchsk_fcst

This function forcasts conditional mean,variance,skewness and kurtosis...

garchsk_ineqfun

This function is inequality equation of GARCHSK parameters used in opt...

garchsk_lik

This function calculates the log-likelihood of GARCHSK model.

gjrsk_construct

This function constructs GJRSK model of given data and parameters.

gjrsk_est

This function estimates GJRSK model's parameters.

gjrsk_fcst

This function forcasts conditional mean,variance,skewness and kurtosis...

gjrsk_ineqfun

This function is inequality equation of GJRSK parameters used in optim...

gjrsk_lik

This function calculates the log-likelihood of GJRSK model.

kurtosis

This function calculates kurtosis of given data.

skewness

This function calculates skewness of given data.

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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.

  • Maintainer: Kei Nakagawa
  • License: GPL (>= 2)
  • Last published: 2021-07-22