The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
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.
Version: | 0.1.1 |
Imports: | MTS, coda, mvtnorm |
Published: | 2022-12-05 |
DOI: | 10.32614/CRAN.package.BayesBEKK |
Author: | Achal Lama, Girish K Jha, K N Singh and Bishal Gurung |
Maintainer: | Achal Lama <achal.lama at icar.gov.in> |
License: | GPL-3 |
NeedsCompilation: | no |
CRAN checks: | BayesBEKK results |
Reference manual: | BayesBEKK.pdf |
Package source: | BayesBEKK_0.1.1.tar.gz |
Windows binaries: | r-devel: BayesBEKK_0.1.1.zip, r-release: BayesBEKK_0.1.1.zip, r-oldrel: BayesBEKK_0.1.1.zip |
macOS binaries: | r-release (arm64): BayesBEKK_0.1.1.tgz, r-oldrel (arm64): BayesBEKK_0.1.1.tgz, r-release (x86_64): BayesBEKK_0.1.1.tgz, r-oldrel (x86_64): BayesBEKK_0.1.1.tgz |
Old sources: | BayesBEKK archive |
Please use the canonical form https://CRAN.R-project.org/package=BayesBEKK to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.