# ------------------------------------------------ # CITATION.cff file created with {cffr} R package # See also: https://docs.ropensci.org/cffr/ # ------------------------------------------------ cff-version: 1.2.0 message: 'To cite package "bmgarch" in publications use:' type: software license: GPL-3.0-or-later title: 'bmgarch: Bayesian Multivariate GARCH Models' version: 2.1.0 doi: 10.32614/CRAN.package.bmgarch abstract: Fit Bayesian multivariate GARCH models using 'Stan' for full Bayesian inference. Generate (weighted) forecasts for means, variances (volatility) and correlations. Currently DCC(P,Q), CCC(P,Q), pdBEKK(P,Q), and BEKK(P,Q) parameterizations are implemented, alongside a constant covariance baseline (that can be used for testing whether GARCH is warranted), based either on a multivariate gaussian normal or student-t distribution. DCC and CCC models are based on Engle (2002) and Bollerslev (1990). The BEKK parameterization follows Engle and Kroner (1995) while the pdBEKK as well as the estimation approach for this package is described in Rast et al. (2020) . The fitted models contain 'rstan' objects and can be examined with 'rstan' functions. authors: - family-names: Rast given-names: Philippe email: rast.ph@gmail.com orcid: https://orcid.org/0000-0003-3630-6629 - family-names: Martin given-names: Stephen email: stephenSRMmartin@gmail.com orcid: https://orcid.org/0000-0001-8085-2390 repository: https://cran.r-universe.dev repository-code: https://github.com/ph-rast/bmgarch commit: 319b51f57dd455e556ce06db944f6ef16dc160b1 url: https://github.com/ph-rast/bmgarch date-released: '2026-05-20' contact: - family-names: Rast given-names: Philippe email: rast.ph@gmail.com orcid: https://orcid.org/0000-0003-3630-6629