Multivariate Conditional Volatility Modelling and Forecasting


[Up] [Top]

Documentation for package ‘BEKKs’ version 1.3.0

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_forecast Forecasting conditional volatilities with BEKK models
bekk_sim Simulating BEKK 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.
print.bekkFit bekkFit method
residuals.bekkFit bekkFit method
StocksBonds Daily stock and Bond returns
VaR Calculating Value-at-Risk (VaR)
virf Estimating multivariate volatility impulse response functions (VIRF) for BEKK models