backtest |
Backtesting via Value-at-Risk (VaR) |
BEKKs |
BEKKs: Volatility modelling |
bekk_fit |
Estimating multivariate BEKK-type volatility models |
bekk_spec |
BEKK specification 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 |
predict.bekk |
Forecasting conditional volatilities with BEKK models |
predict.bekka |
Forecasting conditional volatilities with BEKK models |
predict.dbekk |
Forecasting conditional volatilities with BEKK models |
predict.dbekka |
Forecasting conditional volatilities with BEKK models |
predict.sbekk |
Forecasting conditional volatilities with BEKK models |
predict.sbekka |
Forecasting conditional volatilities with BEKK models |
print.bekkFit |
bekkFit method |
residuals.bekkFit |
bekkFit method |
simulate |
Simulating BEKK models |
simulate.bekk |
Simulating BEKK models |
simulate.bekka |
Simulating BEKK models |
simulate.dbekk |
Simulating BEKK models |
simulate.dbekka |
Simulating BEKK models |
simulate.sbekk |
Simulating BEKK models |
simulate.sbekka |
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 |
_PACKAGE |
BEKKs: Volatility modelling |