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.


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install.packages("BayesBEKK")

0.1.0 by Achal Lama, 3 months ago


Browse source code at https://github.com/cran/BayesBEKK


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