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.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.3.0), MTS, coda, mvtnorm |
| Published: | 2019-10-11 |
| Author: | Achal Lama, Girish K Jha, K N Singh and Bishal Gurung |
| Maintainer: | Achal Lama <achal.lama at icar.gov.in> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | BayesBEKK results |
| Reference manual: | BayesBEKK.pdf |
| Package source: | BayesBEKK_0.1.0.tar.gz |
| Windows binaries: | r-devel: BayesBEKK_0.1.0.zip, r-release: BayesBEKK_0.1.0.zip, r-oldrel: BayesBEKK_0.1.0.zip |
| macOS binaries: | r-release: BayesBEKK_0.1.0.tgz, r-oldrel: BayesBEKK_0.1.0.tgz |
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