Multivariate Conditional Volatility Modelling and Forecasting
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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 |