CRAN/E | BayesBEKK

BayesBEKK

Bayesian Estimation of Bivariate Volatility Model

Installation

About

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.

Key Metrics

Version 0.1.1
Published 2022-12-05 479 days ago
Needs compilation? no
License GPL-3
CRAN checks BayesBEKK results

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Maintainer

Maintainer

Achal Lama

achal.lama@icar.gov.in

Authors

Achal Lama
Girish K Jha
K N Singh
Bishal Gurung

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-develnot available

x86_64

r-releasenot available

x86_64

r-oldrelnot available

x86_64

Old Sources

BayesBEKK archive

Imports

MTS
coda
mvtnorm