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bmgarch
View on CRAN: Click
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Download and install bmgarch package within the R console
Install from CRAN:
install.packages("bmgarch")
Install from Github:
library("remotes")
install_github("cran/bmgarch")
Install by package version:
library("remotes")
install_version("bmgarch", "2.0.0")
Attach the package and use:
library("bmgarch")
Maintained by
Philippe Rast
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-09-17
Latest Update: 2021-12-14
Description:
Fit Bayesian multivariate GARCH models using 'Stan' for full Bayesian inference. Generate (weighted) forecasts for means, variances (volatility) and correlations. Currently DCC(P,Q), CCC(P,Q), pdBEKK(P,Q), and BEKK(P,Q) parameterizations are implemented, based either on a multivariate gaussian normal or student-t distribution. DCC and CCC models are based on Engle (2002) and Bollerslev (1990). The BEKK parameterization follows Engle and Kroner (1995) while the pdBEKK as well as the estimation approach for this package is described in Rast et al. (2020) . The fitted models contain 'rstan' objects and can be examined with 'rstan' functions.
How to cite:
Philippe Rast (2020). bmgarch: Bayesian Multivariate GARCH Models. R package version 2.0.0, https://cran.r-project.org/web/packages/bmgarch
Previous versions and publish date:
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Functions, R codes and Examples using
the bmgarch R package
Some associated functions: as.data.frame.fitted.bmgarch . as.data.frame.forecast.bmgarch . bmgarch-package . bmgarch . bmgarch_list . dot-colQTs . dot-cp . dot-f_MA . dot-f_array_x_mat . dot-get_stan_summary . dot-newline . dot-pred_array_to_df . dot-print.config . dot-print.summary.bekk . dot-print.summary.beta . dot-print.summary.ccc . dot-print.summary.dcc . dot-print.summary.lp . dot-print.summary.means . dot-print.summary.nu . dot-qtile . dot-refit . dot-sep . dot-sim.bekk . dot-square . dot-tab . fitted.bmgarch . forecast.bmgarch . loo.bmgarch . model_weights . panas . plot.bmgarch . plot.forecast.bmgarch . print.fitted.bmgarch . print.forecast.bmgarch . print.loo.bmgarch . print.model_weights . print.summary.bmgarch . standat . stocks . summary.bmgarch . supported_models .
Some associated R codes: bmgarch-package.R . bmgarch.R . forecasting_gq.R . helper.R . lfocv.R . model_weights.R . panas.R . plot.R . print.R . simulate.R . stanmodels.R . stocks.R . zzz.R . Full bmgarch package functions and examples
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