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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.1 |
2026-04-09 windows/windows R-4.5 | BayesBEKK_0.1.1.zip |
19.1 KiB |