bmgarch-package {bmgarch}

The 'bmgarch' package.

Description

The *bmgarch* package fits Bayesian multivariate GARCH models specified via stan, a C++ package providing HMC methods for full Bayesian inference (cf. [http://mc-stan.org]). The currently implemented parameterizations are DCC(Q,P), CCC(Q,P), and BEKK(Q,P) with arbitrary lags defined in Q, and P. The package provides summaries and plots for the estimates as well as forecasted series with corresponding plots. The fitted objects are rstan class objects that can be inspected and manipulated accordingly.

Author(s)

Philippe Rast

References

Stan Development Team (2018). RStan: the R interface to Stan. R package version 2.18.2. http://mc-stan.org