Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR).

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 https://github.com/vst/mgarch. 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:

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:

devtools::install_github("vst/mgarchBEKK")

Usage

## 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:

nix-shell

Releasing

• Bump the version number in DESCRIPTION file.

• Update NEWS.md

  git-chglog -o NEWS.md --next-tag <NEXT_VERSION>
  

• Check the Package:

  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.

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 <http://www.gnu.org/licenses/>.