BEKKs

Multivariate Conditional Volatility Modelling and Forecasting

Christian M. Hafner, Helmut Herwartz, Markus J. Fülle, Alexander Lange

Last update: 14 January 2024

Copyright license: MIT license, File License

Software version identifier: 1.4.3, 1.0.0, 1.0.1, 1.1.0, 1.2.0, 1.2.1, 1.3.0, 1.3.1, 1.4.0, 1.4.1, 1.4.2, 1.4.4

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) <doi:10.1007/s00184-007-0130-y>.

Cites work

Analytical quasi maximum likelihood inference in multivariate volatility models

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