VIRF: Computation of Volatility Impulse Response Function of Multivariate Time Series

Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) <doi.org/10.1016/j.eneco.2012.03.003>.

Version: 0.1.0
Imports: stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib
Published: 2019-05-01
Author: Dr. Ranjit Kumar Paul and Mr. Ankit Tanwar
Maintainer: Dr. Ranjit Kumar Paul <ranjitstat at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: no
CRAN checks: VIRF results

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Reference manual: VIRF.pdf
Package source: VIRF_0.1.0.tar.gz
Windows binaries: r-devel: VIRF_0.1.0.zip, r-devel-gcc8: VIRF_0.1.0.zip, r-release: VIRF_0.1.0.zip, r-oldrel: VIRF_0.1.0.zip
OS X binaries: r-release: VIRF_0.1.0.tgz, r-oldrel: VIRF_0.1.0.tgz

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