Description Usage Arguments Details Value References Examples

Provides the MGARCH-BEKK estimation procedure.

1 2 |

`eps` |
Data frame holding time series. |

`order` |
BEKK(p, q) order. An integer vector of length 2
giving the orders of the model to be fitted. |

`params` |
Initial parameters for the |

`fixed` |
Vector of parameters to be fixed. |

`method` |
The method that will be used by the |

`verbose` |
Indicates if we need verbose output during the estimation. |

`BEKK`

estimates a `BEKK(p,q)`

model, where `p`

stands for the GARCH order, and `q`

stands for the ARCH
order.

Estimation results packaged as `BEKK`

class
instance.

- eps
a data frame contaning all time series

- length
length of the series

- order
order of the BEKK model fitted

- estimation.time
time to complete the estimation process

- total.time
time to complete the whole routine within the mvBEKK.est process

- estimation
estimation object returned from the optimization process, using

`optim`

- aic
the AIC value of the fitted model

- est.params
list of estimated parameter matrices

- asy.se.coef
list of asymptotic theory estimates of standard errors of estimated parameters

- cor
list of estimated conditional correlation series

- sd
list of estimated conditional standard deviation series

- H.estimated
list of estimated series of covariance matrices

- eigenvalues
estimated eigenvalues for sum of Kronecker products

- uncond.cov.matrix
estimated unconditional covariance matrix

- residuals
list of estimated series of residuals

Bauwens L., S. Laurent, J.V.K. Rombouts, Multivariate GARCH models: A survey, April, 2003

Bollerslev T., Modelling the coherence in short-run nominal exchange rate: A multivariate generalized ARCH approach, Review of Economics and Statistics, 498–505, 72, 1990

Engle R.F., K.F. Kroner, Multivariate simultaneous generalized ARCH, Econometric Theory, 122-150, 1995

Engle R.F., Dynamic conditional correlation: A new simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 339–350, 20, 2002

Tse Y.K., A.K.C. Tsui, A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations, Journal of Business and Economic Statistics, 351-362, 20, 2002

1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ```
## Simulate series:
simulated <- simulateBEKK(2, 1000, c(1,1))
## Prepare the matrix:
simulated <- do.call(cbind, simulated$eps)
## Estimate with default arguments:
estimated <- BEKK(simulated)
## Not run:
## Show diagnostics:
diagnoseBEKK(estimated)
## End(Not run)
``` |

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