Package: BEKKs 1.4.5
Markus J. Fülle
BEKKs: Multivariate Conditional Volatility Modelling and Forecasting
Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.
Authors:
BEKKs_1.4.5.tar.gz
BEKKs_1.4.5.tar.gz(r-4.5-noble)BEKKs_1.4.5.tar.gz(r-4.4-noble)
BEKKs_1.4.5.tgz(r-4.4-emscripten)BEKKs_1.4.5.tgz(r-4.3-emscripten)
BEKKs.pdf |BEKKs.html✨
BEKKs/json (API)
| # Install 'BEKKs' in R: |
| install.packages('BEKKs', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- GoldStocksBonds - Gold stock and Bond returns
- StocksBonds - Daily stock and Bond returns
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 1 months agofrom:ec2041d91f. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Dec 25 2024 |
| R-4.5-linux-x86_64 | OK | Dec 25 2024 |
Exports:backtestbekk_fitbekk_specportmanteau.testVaRvirf
Dependencies:clicodetoolscolorspacecpp11cubaturedigestdplyrfansifarverFNNfuturefuture.applyGASgenericsggfortifyggplot2globalsgluegridExtragtableisobandkernlabKernSmoothkslabelinglatticelifecyclelistenvlubridatemagrittrMASSmathjaxrMatrixmclustmgcvmomentsmulticoolmunsellmvtnormnlmenumDerivparallellypbapplypillarpkgconfigplyrpracmapurrrR6RColorBrewerRcppRcppArmadilloreshape2rlangRsolnpscalesstringistringrtibbletidyrtidyselecttimechangetruncnormutf8vctrsviridisLitewithrxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Backtesting via Value-at-Risk (VaR) | backtest |
| Estimating multivariate BEKK-type volatility models | bekk_fit |
| BEKK specification method | bekk_spec |
| BEKKs: Volatility modelling | BEKKs-package BEKKs _PACKAGE |
| Gold stock and Bond returns | GoldStocksBonds |
| Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals. | portmanteau.test |
| Forecasting conditional volatilities with BEKK models | predict predict.bekk predict.bekka predict.dbekk predict.dbekka predict.sbekk predict.sbekka |
| bekkFit method | logLik.bekkFit print.bekkFit residuals.bekkFit |
| Simulating BEKK models | simulate simulate.bekk simulate.bekka simulate.dbekk simulate.dbekka simulate.sbekk simulate.sbekka |
| Daily stock and Bond returns | StocksBonds |
| Calculating Value-at-Risk (VaR) | VaR |
| Estimating multivariate volatility impulse response functions (VIRF) for BEKK models | virf |
