GARCHSK
Estimating a GARCHSK Model and GJRSK Model
v0.1.0
·
Jul 22, 2021
·
GPL (>= 2)
Description
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.
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| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
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0.1.0
Mar 10, 2026