{"id":29005304,"url":"https://github.com/vst/mgarchbekk","last_synced_at":"2025-10-10T23:08:39.275Z","repository":{"id":56937695,"uuid":"52869412","full_name":"vst/mgarchBEKK","owner":"vst","description":"R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes","archived":false,"fork":false,"pushed_at":"2022-12-06T07:21:33.000Z","size":82,"stargazers_count":15,"open_issues_count":1,"forks_count":6,"subscribers_count":1,"default_branch":"main","last_synced_at":"2025-08-31T03:25:03.648Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":"","language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"other","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/vst.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"COPYING","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2016-03-01T10:43:17.000Z","updated_at":"2025-01-09T04:13:07.000Z","dependencies_parsed_at":"2023-01-24T06:30:09.917Z","dependency_job_id":null,"html_url":"https://github.com/vst/mgarchBEKK","commit_stats":null,"previous_names":[],"tags_count":5,"template":false,"template_full_name":null,"purl":"pkg:github/vst/mgarchBEKK","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vst%2FmgarchBEKK","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vst%2FmgarchBEKK/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vst%2FmgarchBEKK/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vst%2FmgarchBEKK/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/vst","download_url":"https://codeload.github.com/vst/mgarchBEKK/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vst%2FmgarchBEKK/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":279005549,"owners_count":26083918,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","status":"online","status_checked_at":"2025-10-10T02:00:06.843Z","response_time":62,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2025-06-25T11:05:46.427Z","updated_at":"2025-10-10T23:08:39.247Z","avatar_url":"https://github.com/vst.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"# mgarchBEKK\n\n_mgarchBEKK_ is an R Package designed to simulate, estimate, predict\nand diagnose MGARCH processes, in particular of _BEKK_ and _mGJR_\n(bivariate asymmetric GARCH) specifications.\n\n\u003e **Please note** that this package is being revised after a long time. The\n\u003e original codebase is currently available on \u003chttps://github.com/vst/mgarch\u003e.\n\u003e The objective is to standardize the simulation, estimation,\n\u003e prediction/forecasting and diagnostics processes and optimize for speed in the\n\u003e long run. Therefore, please expect significant API changes, ie. function\n\u003e names, parameters and their meaning may change along the way.\n\n## Installation\n\nThe package is on CRAN:\n\n```R\ninstall.packages(\"mgarchBEKK\")\n```\n\nHowever, you can still install the package straight from its GitHub repository.\nThe easiest way is to use `devtools`. For the `main` branch:\n\n```R\ndevtools::install_github(\"vst/mgarchBEKK\")\n```\n\n## Usage\n\n```R\n## Load the library:\nlibrary(mgarchBEKK)\n\n## Simulate a BEKK process:\nsimulated \u003c- simulateBEKK(2, 1000, c(1,1))\n\n## Prepare the input for the estimation process:\nsimulated \u003c- do.call(cbind, simulated$eps)\n\n## Estimate with default arguments:\nestimated \u003c- BEKK(simulated)\n\n## Show diagnostics:\ndiagnoseBEKK(estimated)\n\n## Likewise, you can estimate an mGJR process:\nestimated2 \u003c- mGJR(simulated[,1], simulated[,2])\n```\n\n## Development\n\nThis repository provides a Nix shell for easier access to a reproducible\ndevelopment environment:\n\n```sh\nnix-shell\n```\n\n## Releasing\n\n- Bump the version number in `DESCRIPTION` file.\n- Update `NEWS.md`\n\n    ```sh\n    git-chglog -o NEWS.md --next-tag \u003cNEXT_VERSION\u003e\n    ```\n\n- Check the Package:\n\n    ```R\n    devtools::check(\".\", incoming = TRUE)\n    devtools::check_win_release(\".\")\n    devtools::check_win_devel(\".\")\n    ## Note that rhub fails with \"no suitable spell checker found\", hence the env_vars:\n    devtools::check_rhub(\".\", env_vars = c(\"_R_CHECK_CRAN_INCOMING_USE_ASPELL_\" = \"false\"))\n    ```\n\n- Update `cran-comments.md` with necessary comments to CRAN team.\n- Commit changes and tag release commit.\n\n## LICENSE\n\nThis R library is licensed under\n[GPLv3](http://www.gnu.org/licenses/gpl-3.0.en.html).\n\n```txt\nmgarchBEKK - Simulating, Estimating \u0026 Diagnosing BEKK/mGJR Processes\n\nCopyright (C) 2004-2022 Harald Schmidbauer, Angi Roesch, Vehbi Sinan\nTunalioglu\n\nThis program is free software: you can redistribute it and/or modify\nit under the terms of the GNU General Public License as published by\nthe Free Software Foundation, either version 3 of the License, or (at\nyour option) any later version.\n\nThis program is distributed in the hope that it will be useful, but\nWITHOUT ANY WARRANTY; without even the implied warranty of\nMERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU\nGeneral Public License for more details.\n\nYou should have received a copy of the GNU General Public License\nalong with this program.  If not, see \u003chttp://www.gnu.org/licenses/\u003e.\n```\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fvst%2Fmgarchbekk","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fvst%2Fmgarchbekk","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fvst%2Fmgarchbekk/lists"}