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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.
Getting started
Browse package contents
Package details |
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| Author | Achal Lama, Girish K Jha, K N Singh and Bishal Gurung |
| Maintainer | Achal Lama <achal.lama@icar.gov.in> |
| License | GPL-3 |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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