The Bayesian Dynamic Conditional Correlation GARCH Model

Bayesian estimation of dynamic conditional correlation GARCH model for multivariate time series volatility (Fioruci, J.A., Ehlers, R.S. and Andrade-Filho, M.G., (2014). .


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install.packages("bayesDccGarch")

2.2 by Jose Augusto Fiorucci, 5 days ago


https://ui.adsabs.harvard.edu/abs/2014arXiv1412.2967F/abstract


Report a bug at https://github.com/jafiorucci/bayesDccGarch/issues


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


Authors: Jose Augusto Fiorucci [aut, cre, cph] , Ricardo Sanders Ehlers [aut, cph] , Francisco Louzada [aut, cph]


Documentation:   PDF Manual  


Task views:


GPL (>= 2) license


Depends on numDeriv, coda


See at CRAN