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:	1.1.0
Depends:	R (≥ 3.5.0)
Imports:	Rcpp, expm, reshape2, ggplot2, mathjaxr, gridExtra, grid, ggfortify, parallel, xts, stats, future, forecast, future.apply
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	testthat (≥ 2.1.0)
Published:	2022-03-19
Author:	Markus Fülle [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_1.1.0.tar.gz
Windows binaries:	r-devel: BEKKs_1.1.0.zip, r-release: BEKKs_1.1.0.zip, r-oldrel: BEKKs_1.1.0.zip
macOS binaries:	r-release (arm64): BEKKs_1.1.0.tgz, r-release (x86_64): BEKKs_1.1.0.tgz, r-oldrel: BEKKs_1.1.0.tgz
Old sources:	BEKKs archive

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