Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).

Documentation

Manual: betategarch.pdf
Vignette: None available.

Maintainer: Genaro Sucarrat <genaro.sucarrat at bi.no>

Author(s): Genaro Sucarrat

Install package and any missing dependencies by running this line in your R console:

install.packages("betategarch")

Depends R (>= 2.15.0), zoo
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Package betategarch
Materials
URL http://www.sucarrat.net/
Task Views Finance
Version 3.3
Published 2016-10-16
License GPL-2
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks betategarch check results
Package source betategarch_3.3.tar.gz