BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series

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...

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Bibliographic Details
Main Authors: Markus J. Fülle, Alexander Lange, Christian M. Hafner, Helmut Herwartz
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
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