Package: BayesBEKK
Type: Package
Title: Bayesian Estimation of Bivariate Volatility Model
Version: 0.1.1
Author: Achal Lama, Girish K Jha, K N Singh and Bishal Gurung
Maintainer: Achal Lama <achal.lama@icar.gov.in>
Description: The Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) models are used for modelling the volatile multivariate data sets. In this package a variant of MGARCH called BEKK (Baba, Engle, Kraft, Kroner) proposed by Engle and Kroner (1995) <http://www.jstor.org/stable/3532933> has been used to estimate the bivariate time series data using Bayesian technique.
Encoding: UTF-8
License: GPL-3
Imports: MTS,coda,mvtnorm
NeedsCompilation: no
Packaged: 2022-12-05 11:04:15 UTC; USER
Repository: CRAN
Date/Publication: 2022-12-05 14:12:37 UTC
Built: R 4.2.0; ; 2023-07-11 00:24:15 UTC; unix
