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>.

Version: 1.4.0
Depends: R (≥ 3.5.0)
Imports: Rcpp, reshape2, ggplot2, mathjaxr, gridExtra, grid, ggfortify, parallel, xts, stats, future, forecast, future.apply, GAS, ks, lubridate, utils, pbapply, numDeriv, moments
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 2.1.0)
Published: 2022-11-08
Author: Markus J. Fülle [aut], Christian M. Hafner [aut], Helmut Herwartz [aut], Alexander Lange [aut, cre]
Maintainer: Alexander Lange <alexander.lange at uni-goettingen.de>
License: MIT + file LICENSE
NeedsCompilation: yes
SystemRequirements: C++11
CRAN checks: BEKKs results

Documentation:

Reference manual: BEKKs.pdf

Downloads:

Package source: BEKKs_1.4.0.tar.gz
Windows binaries: r-devel: BEKKs_1.4.0.zip, r-release: BEKKs_1.4.0.zip, r-oldrel: BEKKs_1.4.0.zip
macOS binaries: r-release (arm64): BEKKs_1.4.0.tgz, r-oldrel (arm64): BEKKs_1.4.0.tgz, r-release (x86_64): BEKKs_1.4.0.tgz, r-oldrel (x86_64): BEKKs_1.4.0.tgz
Old sources: BEKKs archive

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