Multivariate Conditional Volatility Modelling and Forecasting


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Documentation for package ‘BEKKs’ version 1.4.1

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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