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mgarchBEKK  

Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
View on CRAN: Click here


Download and install mgarchBEKK package within the R console
Install from CRAN:
install.packages("mgarchBEKK")

Install from Github:
library("remotes")
install_github("cran/mgarchBEKK")

Install by package version:
library("remotes")
install_version("mgarchBEKK", "0.0.5")



Attach the package and use:
library("mgarchBEKK")
Maintained by
Vehbi Sinan Tunalioglu
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-03-02
Latest Update: 2022-12-06
Description:
Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.
How to cite:
Vehbi Sinan Tunalioglu (2016). mgarchBEKK: Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes. R package version 0.0.5, https://cran.r-project.org/web/packages/mgarchBEKK. Accessed 11 Aug. 2026.
Previous versions and publish date:
(2026-07-09 06:29), 0.0.1 (2016-03-02 11:10), 0.0.2 (2016-04-10 00:49)
Other packages that cited mgarchBEKK R package
View mgarchBEKK citation profile
Other R packages that mgarchBEKK depends, imports, suggests or enhances
Complete documentation for mgarchBEKK
Functions, R codes and Examples using the mgarchBEKK R package
Some associated functions: BEKK . diagnoseBEKK . mGJR . simulateBEKK . 
Some associated R codes: BEKK.R . mGJR.R .  Full mgarchBEKK package functions and examples
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