BayesBEKK (0.1.0)

0 users

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) has been used to estimate the bivariate time series data using Bayesian technique.

Maintainer: Achal Lama
Author(s): Achal Lama, Girish K Jha, K N Singh and Bishal Gurung

License: GPL-3

Uses: coda, MTS, mvtnorm

Released about 1 month ago.



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of BayesBEKK yet. Want to be the first? Write one now.

Related packages:(20 best matches, based on common tags.)

Search for BayesBEKK on google, google scholar, r-help, r-devel.

Visit BayesBEKK on R Graphical Manual.