VIRF: Computation of Volatility Impulse Response Function of Multivariate 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
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

Documentation:

Reference manual:

VIRF.html , VIRF.pdf

Downloads:

Package source:	VIRF_0.1.1.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): VIRF_0.1.1.tgz, r-oldrel (x86_64): VIRF_0.1.1.tgz
Old sources:	VIRF archive

Linking:

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