Multivariate Conditional Volatility Modelling and Forecasting

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Documentation for package ‘BEKKs’ version 1.4.1

• DESCRIPTION file.

Help Pages

AIC.bekkFit	bekkFit method
backtest	Backtesting via Value-at-Risk (VaR)
BEKKs	BEKKs: Volatility modelling
bekk_fit	Estimating multivariate BEKK-type volatility models
bekk_spec	BEKK specification method
BIC.bekkFit	bekkFit method
GoldStocksBonds	Gold stock and Bond returns
logLik.bekkFit	bekkFit method
portmanteau.test	Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals.
predict	Forecasting conditional volatilities with BEKK models
print.bekkFit	bekkFit method
residuals.bekkFit	bekkFit method
simulate	Simulating BEKK models
StocksBonds	Daily stock and Bond returns
VaR	Calculating Value-at-Risk (VaR)
virf	Estimating multivariate volatility impulse response functions (VIRF) for BEKK models