Other packages > Find by keyword >

bmgarch  

Bayesian Multivariate GARCH Models
View on CRAN: Click here


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", "2.1.0")



Attach the package and use:
library("bmgarch")
Maintained by
Philippe Rast
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-09-17
Latest Update: 2023-09-12
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 2.1.0, https://cran.r-project.org/web/packages/bmgarch. Accessed 28 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:22), 1.0.0 (2020-09-17 15:00), 1.0.1 (2021-06-14 11:00), 1.1.0 (2021-12-14 14:30), 2.0.0 (2023-09-12 02:40)
Other packages that cited bmgarch R package
View bmgarch citation profile
Other R packages that bmgarch depends, imports, suggests or enhances
Complete documentation for bmgarch
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

msamp  
Estimate Sample Size to Detect Bacterial Contamination in a Product Lot
Estimates the sample size needed to detect microbial contamination in a lot with a user-specified d ...
Download / Learn more Package Citations See dependency  
ncdf4  
Interface to Unidata netCDF (Version 4 or Earlier) Format Data Files
Provides a high-level R interface to data files written using Unidata's netCDF library (version 4 or ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
cats  
Cohort Platform Trial Simulation
Cohort plAtform Trial Simulation whereby every cohort consists of two arms, control and experimenta ...
Download / Learn more Package Citations See dependency  
NPHazardRate  
Nonparametric Hazard Rate Estimation
Provides functions and examples for histogram, kernel (classical, variable bandwidth and transformat ...
Download / Learn more Package Citations See dependency  

29,218

R Packages

247,686

Dependencies

77,281

Author Associations

29,219

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA