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.
|Author||Achal Lama, Girish K Jha, K N Singh and Bishal Gurung|
|Maintainer||Achal Lama <firstname.lastname@example.org>|
|Package repository||View on CRAN|
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