BayesBEKK: Bayesian Estimation of Bivariate Volatility Model
The Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) models are used for modelling the volatile multivariate data sets. In this package a variant of MGARCH called BEKK (Baba, Engle, Kraft, Kroner) proposed by Engle and Kroner (1995) <http://www.jstor.org/stable/3532933> has been used to estimate the bivariate time series data using Bayesian technique.
Version: |
0.1.1 |
Imports: |
MTS, coda, mvtnorm |
Published: |
2022-12-05 |
Author: |
Achal Lama, Girish K Jha, K N Singh and Bishal Gurung |
Maintainer: |
Achal Lama <achal.lama at icar.gov.in> |
License: |
GPL-3 |
NeedsCompilation: |
no |
CRAN checks: |
BayesBEKK results |
Documentation:
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