BayesBEKK (0.1.0)

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Bayesian Estimation of Bivariate Volatility Model.

http://cran.r-project.org/web/packages/BayesBEKK

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.


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