betategarch

MaRDI QIDQ38442swMATHCRANFDO

Authors Genaro Sucarrat

Last update 26 March 2025

Copyright license GNU General Public License, version 2.0

Software version identifier 3.3, PACKAGES.rds, 1.0, 1.1, 1.2, 1.3, 2.0, 3.0, 3.1, 3.2, 3.4

Official website https://cran.r-project.org/web/packages/betategarch/index.html

Source code repository https://github.com/cran/betategarch

Description

Simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models with leverage (one-component, two-component, skewed versions).

Cited in

(2)

• EGARCH models with fat tails, skewness and leverage
• DySco

This page was built for software: betategarch