GARCHSK

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Estimating a GARCHSK Model and GJRSK Model

Kei Nakagawa

Last update: 22 July 2021

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.1.0

Cites work

• Autoregresive conditional volatility, skewness and kurtosis
• GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio

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