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BayesBEKK  

Bayesian Estimation of Bivariate Volatility Model
View on CRAN: Click here


Download and install BayesBEKK package within the R console
Install from CRAN:
install.packages("BayesBEKK")

Install from Github:
library("remotes")
install_github("cran/BayesBEKK")

Install by package version:
library("remotes")
install_version("BayesBEKK", "0.1.1")



Attach the package and use:
library("BayesBEKK")
Maintained by
Achal Lama
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-10-11
Latest Update: 2022-12-05
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) has been used to estimate the bivariate time series data using Bayesian technique.
How to cite:
Achal Lama (2019). BayesBEKK: Bayesian Estimation of Bivariate Volatility Model. R package version 0.1.1, https://cran.r-project.org/web/packages/BayesBEKK. Accessed 07 Jun. 2026.
Previous versions and publish date:
0.1.0 (2019-10-11 14:10), 0.1.1 (2022-12-05 15:12)
Other packages that cited BayesBEKK R package
View BayesBEKK citation profile
Other R packages that BayesBEKK depends, imports, suggests or enhances
Complete documentation for BayesBEKK
Functions, R codes and Examples using the BayesBEKK R package
Some associated functions: BayesianBEKK . 
Some associated R codes: BayesianBEKK.R .  Full BayesBEKK package functions and examples
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