Package: BayesBEKK 0.1.1
Achal Lama
BayesBEKK: 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.
Authors:
BayesBEKK_0.1.1.tar.gz
BayesBEKK_0.1.1.tar.gz(r-4.5-noble)BayesBEKK_0.1.1.tar.gz(r-4.4-noble)
BayesBEKK_0.1.1.tgz(r-4.4-emscripten)BayesBEKK_0.1.1.tgz(r-4.3-emscripten)
BayesBEKK.pdf |BayesBEKK.html✨
BayesBEKK/json (API)
| # Install 'BayesBEKK' in R: |
| install.packages('BayesBEKK', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 2 years agofrom:d6c40db9b9. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 31 2024 |
| R-4.5-linux | OK | Oct 31 2024 |
Exports:BayesianBEKK
Dependencies:codacvarfastICAfBasicsfGarchgbutilsgsslatticeMASSMatrixMTSmvtnormrbibutilsRcppRcppEigenRdpackspatialstabledisttimeDatetimeSeries
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Bayesian Estimation of Bivariate Volatility Model | BayesianBEKK |