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

Maintainer: Alexios Ghalanos <alexios at 4dscape.com>

Author(s): Alexios Ghalanos <alexios at 4dscape.com>

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

install.packages("rmgarch")

Depends R (>= 3.0.2), methods, rugarch, parallel
Imports Rsolnp, MASS, Matrix, zoo, xts, Bessel, ff, shape, pcaPP, spd, Rcpp, utils, graphics, stats, grDevices
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Package rmgarch
Materials
URL http://www.unstarched.net https://bitbucket.org/alexiosg
Task Views Finance
Version 1.3-0
Published 2015-12-28
License GPL-3
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NeedsCompilation yes
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CRAN checks rmgarch check results
Package source rmgarch_1.3-0.tar.gz