BEKKs: Multivariate Conditional Volatility Modelling and Forecasting
Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.
| Version: |
1.4.5 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
Rcpp, reshape2, ggplot2, mathjaxr, gridExtra, grid, ggfortify, parallel, xts, stats, future, future.apply, GAS, ks, lubridate, utils, pbapply, numDeriv, moments |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat (≥ 2.1.0) |
| Published: |
2024-11-25 |
| DOI: |
10.32614/CRAN.package.BEKKs |
| Author: |
Markus J. Fülle [aut, cre],
Alexander Lange [aut],
Christian M. Hafner [aut],
Helmut Herwartz [aut] |
| Maintainer: |
Markus J. Fülle <markus.fuelle at gmail.com> |
| License: |
MIT + file LICENSE |
| NeedsCompilation: |
yes |
| SystemRequirements: |
C++17 |
| Citation: |
BEKKs citation info |
| CRAN checks: |
BEKKs results |
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