bmgarch

swMATH39770CRANbmgarchMaRDI QIDQ55470

Bayesian Multivariate GARCH Models

Philippe Rast, Stephen Ross Martin

Last update: 12 September 2023

Copyright license: GNU General Public License

Software version identifier: 1.1.0, 1.0.0, 1.0.1, 2.0.0

Source code repository: https://github.com/cran/bmgarch

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) <doi:10.1198/073500102288618487> and Bollerslev (1990). The BEKK parameterization follows Engle and Kroner (1995) <doi:10.1017/S0266466600009063> while the pdBEKK as well as the estimation approach for this package is described in Rast et al. (2020) <doi:10.31234/osf.io/j57pk>. The fitted models contain 'rstan' objects and can be examined with 'rstan' functions.

Cites work

• Dynamic Conditional Correlation
• Multivariate Simultaneous Generalized ARCH
• A New Frontier for Studying Within-Person Variability: Bayesian Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

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