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) <> has been used to estimate the bivariate time series data using Bayesian technique.


Reference manual

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0.1.0 by Achal Lama, a year ago

Browse source code at

Authors: Achal Lama , Girish K Jha , K N Singh and Bishal Gurung

Documentation:   PDF Manual  

GPL-3 license

Depends on MTS, coda, mvtnorm

See at CRAN