VIRF: Computation of Volatility Impulse Response Function ofMultivariate Time Series
Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) <doi:10.1016/j.eneco.2012.03.003>.
| Version: | 0.1.1 |
| Imports: | stats,rmgarch,mgarchBEKK,gnm,expm,BigVAR,ks,matrixcalc,matlib |
| Published: | 2025-08-29 |
| DOI: | 10.32614/CRAN.package.VIRF |
| Author: | Dr. Ranjit Kumar Paul [aut, cre], Dr. Md Yeasin [aut], Mr. Ankit Tanwar [aut] |
| 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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