https://github.com/vst/mgarchbekk
R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
https://github.com/vst/mgarchbekk
Last synced: 10 months ago
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R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
- Host: GitHub
- URL: https://github.com/vst/mgarchbekk
- Owner: vst
- License: other
- Created: 2016-03-01T10:43:17.000Z (over 10 years ago)
- Default Branch: main
- Last Pushed: 2022-12-06T07:21:33.000Z (over 3 years ago)
- Last Synced: 2025-08-31T03:25:03.648Z (11 months ago)
- Language: R
- Homepage:
- Size: 80.1 KB
- Stars: 15
- Watchers: 1
- Forks: 6
- Open Issues: 1
-
Metadata Files:
- Readme: README.md
- License: COPYING
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README
# mgarchBEKK
_mgarchBEKK_ is an R Package designed to simulate, estimate, predict
and diagnose MGARCH processes, in particular of _BEKK_ and _mGJR_
(bivariate asymmetric GARCH) specifications.
> **Please note** that this package is being revised after a long time. The
> original codebase is currently available on .
> The objective is to standardize the simulation, estimation,
> prediction/forecasting and diagnostics processes and optimize for speed in the
> long run. Therefore, please expect significant API changes, ie. function
> names, parameters and their meaning may change along the way.
## Installation
The package is on CRAN:
```R
install.packages("mgarchBEKK")
```
However, you can still install the package straight from its GitHub repository.
The easiest way is to use `devtools`. For the `main` branch:
```R
devtools::install_github("vst/mgarchBEKK")
```
## Usage
```R
## Load the library:
library(mgarchBEKK)
## Simulate a BEKK process:
simulated <- simulateBEKK(2, 1000, c(1,1))
## Prepare the input for the estimation process:
simulated <- do.call(cbind, simulated$eps)
## Estimate with default arguments:
estimated <- BEKK(simulated)
## Show diagnostics:
diagnoseBEKK(estimated)
## Likewise, you can estimate an mGJR process:
estimated2 <- mGJR(simulated[,1], simulated[,2])
```
## Development
This repository provides a Nix shell for easier access to a reproducible
development environment:
```sh
nix-shell
```
## Releasing
- Bump the version number in `DESCRIPTION` file.
- Update `NEWS.md`
```sh
git-chglog -o NEWS.md --next-tag
```
- Check the Package:
```R
devtools::check(".", incoming = TRUE)
devtools::check_win_release(".")
devtools::check_win_devel(".")
## Note that rhub fails with "no suitable spell checker found", hence the env_vars:
devtools::check_rhub(".", env_vars = c("_R_CHECK_CRAN_INCOMING_USE_ASPELL_" = "false"))
```
- Update `cran-comments.md` with necessary comments to CRAN team.
- Commit changes and tag release commit.
## LICENSE
This R library is licensed under
[GPLv3](http://www.gnu.org/licenses/gpl-3.0.en.html).
```txt
mgarchBEKK - Simulating, Estimating & Diagnosing BEKK/mGJR Processes
Copyright (C) 2004-2022 Harald Schmidbauer, Angi Roesch, Vehbi Sinan
Tunalioglu
This program is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation, either version 3 of the License, or (at
your option) any later version.
This program is distributed in the hope that it will be useful, but
WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
General Public License for more details.
You should have received a copy of the GNU General Public License
along with this program. If not, see .
```