rmgarch - Multivariate GARCH Models

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH.

Last updated 2 months ago

openblascppopenmp

8.45 score 14 stars 2 dependents 294 scripts 7.6k downloads

Rsolnp - General Non-Linear Optimization

General Non-linear Optimization Using Augmented Lagrange Multiplier Method.

Last updated 3 years ago

8.34 score 2 stars 119 dependents 282 scripts 15k downloads