BayesBEKK

Bayesian Estimation of Bivariate Volatility Model

CRAN Package

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.

  • Version0.1.1
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?No
  • Last release12/05/2022

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  • Imports3 packages