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BEKKs (version 1.4.5)

Multivariate Conditional Volatility Modelling and Forecasting

Description

Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) . For an overview, we refer the reader to Fülle et al. (2024) .

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Version

Install

install.packages('BEKKs')

Monthly Downloads

506

Version

1.4.5

License

MIT + file LICENSE

Maintainer

Markus J. Fülle

Last Published

November 25th, 2024

Functions in BEKKs (1.4.5)

GoldStocksBonds

Gold stock and Bond returns
bekk_fit

Estimating multivariate BEKK-type volatility models
backtest

Backtesting via Value-at-Risk (VaR)
BEKKs

BEKKs: Volatility modelling
print.bekkFit

bekkFit method
predict

Forecasting conditional volatilities with BEKK models
portmanteau.test

Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals.
virf

Estimating multivariate volatility impulse response functions (VIRF) for BEKK models
simulate

Simulating BEKK models
VaR

Calculating Value-at-Risk (VaR)
bekk_spec

BEKK specification method
StocksBonds

Daily stock and Bond returns