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", "2.0.0")



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 2.0.0, https://cran.r-project.org/web/packages/bmgarch. Accessed 25 Aug. 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

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
connectwidgets  
Organize and Curate Your Content Within 'Posit Connect'
A collection of helper functions and 'htmlwidgets' to help publishers curate content collections on ...
Download / Learn more Package Citations See dependency  
commonsMath  
JAR Files of the Apache Commons Mathematics Library
'Java' JAR files for the Apache Commons Mathematics Library for use by users and other packages. ...
Download / Learn more Package Citations See dependency  
missDiag  
Comparing Observed and Imputed Values under MAR and MCAR
Implements the computation of discrepancy statistics summarizing differences between the density of ...
Download / Learn more Package Citations See dependency  
hwep  
Hardy-Weinberg Equilibrium in Polyploids
Inference concerning equilibrium and random mating in autopolyploids. Methods are available to test ...
Download / Learn more Package Citations See dependency  

28,332

R Packages

239,283

Dependencies

75,113

Author Associations

28,333

Publication Badges

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