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) <> has been used to estimate the bivariate time series data using Bayesian technique.

Getting started

Package details

AuthorAchal Lama, Girish K Jha, K N Singh and Bishal Gurung
MaintainerAchal Lama <>
Package repositoryView on CRAN
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BayesBEKK documentation built on Oct. 11, 2019, 5:05 p.m.