BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series
We describe the R package BEKKs, which implements the estimation and diagnostic analysis of a prominent family of multivariate generalized autoregressive conditionally heteroskedastic (MGARCH) processes, the so-called BEKK models. Unlike existing software packages, we make use of analytical derivat...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2024-11-01
|
| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/5007 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|