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
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

Documentation:

Reference manual: VIRF.html , VIRF.pdf

Downloads:

Package source: VIRF_0.1.1.tar.gz
Windows binaries: r-devel: VIRF_0.1.1.zip, r-release: VIRF_0.1.1.zip, r-oldrel: VIRF_0.1.1.zip
macOS binaries: r-release (arm64): VIRF_0.1.1.tgz, r-oldrel (arm64): VIRF_0.1.1.tgz, 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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