sebinum / baqgarchutil

Utility Functions to Analyse a Fitted baqGARCH Model

baqgarchutil

Overview

The goal of baqgarchutil is to provide utility functions for mGJR class objects from the mgarchBEKK package and making the process of identifying conditional heteroscedasticity, performing residual diagnostics and visualizing the results of a news impact on the conditional covariance matrices as convenient as possible.

Installation

You can install baqgarchutil from github with:

# install.packages("devtools")
devtools::install_github("sebinum/baqgarchutil")

Example / Usage

Each function in this package contains an example on how to use it. The next release will most likely contain a vignette with more background on the use and interpretation of a plotted news impact on volatility.