diagnoseBEKK: Diagnose BEKK process estimation

In mgarchBEKK: Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes

Diagnose BEKK process estimation

Description

Provides diagnostics for a BEKK process estimation.

Usage

diagnoseBEKK(estimation)

Arguments

estimation

The return value of the mvBEKK.est function

Details

This procedure provides console output and browsable plots for a given BEKK process estimation. Therefore, it is meant to be interactive as the user needs to proceed by pressing c on the keyboard to see each plot one-by-one.

Value

Nothing special

Examples

## 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)

mgarchBEKK documentation built on Dec. 6, 2022, 9:10 a.m.