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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.4.6 |
2026-04-09 windows/windows R-4.5 | BEKKs_1.4.6.zip |
1.6 MiB |