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) <>.

Version: 0.1.0
Imports: stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib
Published: 2019-05-01
DOI: 10.32614/CRAN.package.VIRF
Author: Dr. Ranjit Kumar Paul and Mr. Ankit Tanwar
Maintainer: Dr. Ranjit Kumar Paul <ranjitstat at>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: no
CRAN checks: VIRF results


Reference manual: VIRF.pdf


Package source: VIRF_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): VIRF_0.1.0.tgz, r-oldrel (arm64): VIRF_0.1.0.tgz, r-release (x86_64): VIRF_0.1.0.tgz, r-oldrel (x86_64): VIRF_0.1.0.tgz


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