BEKKs

1.4.7

Multivariate Conditional Volatility Modelling and Forecasting

0packages depend

6.5Kdownloads / year

47.5%test coverage

13/13checks pass

Overview

About

Maintained by Markus J. FülleFirst published 2022-01-2015 releasesCRAN page ↗

Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) doi:10.1007/s00184-007-0130-y. For an overview, we refer the reader to Fülle et al. (2024) doi:10.18637/jss.v111.i04.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("BEKKs", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-bekks

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-BEKKs

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-BEKKs

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 13.8 min · r-devel-linux-x86_64-fedora-clang

Code health

Yes

Tests · ratio 0.14

47.5%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-05-02
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 20%
Documented parameters: 94%
Return-value docs: 100%
References docs: 33%

Downloads

6.5K

CRAN downloads in the past year

Rank #4,351 · ~18/day · ~540/mo

Releases R versions

Daily download trend is not available in this view yet.

50530 days

2.1K90 days

6.5K1 year

Compare downloads with other packages →

Also on498 r2u60 autocran

Dependencies

Declared dependencies

17 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (18)

Rcpp reshape2 ggplot2 mathjaxr gridExtragridggfortifyparallelxtsstatsfuture future.apply ks lubridateutilspbapply numDeriv moments

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (1)

testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 5,929 (50%)C++ 5,327 (45%)Rd 561 (5%)C 25 (0%)

Code characteristics

Object systems

S344

Cyclomatic complexity: 1.0 median / 28 max
Test cases: 70 / 0.14 per code line
System requirements: 1 external

Test coverage

Line coverage

47%

Expression

47.4%

Tests / Examples

47.5% / 0% ex

Functions

267 6 exported

Complexity

4.3 avg / 28 max

Call network

267 nodes / 428 edges

Call graph

Open call graph →

Loading call graph…

Lowest coverage

267 functions

Function	Cyclo	Coverage
VaR exp	1	0%
backtest exp	1	0%
.onLoad	1	0%
.onUnload	1	0%
QML_sd	1	0%
QML_sd_asymm	1	0%

People & History

People (4)

Maintainer (1)

Markus J. Fülle

Author, Maintainer · added in 1.3.1

Authors (4)

Markus J. Fülle

Author, Maintainer · added in 1.3.1

Christian M. Hafner

Author · added in 1.3.1

Helmut Herwartz

Author

Alexander Lange

Author

Listed in earlier versions (2)

Markus Fülle

no longer listed · 1.0.0 to 1.3.0

Hafner Christian

no longer listed · 1.3.0

Package Timeline

15 releases. Pick two to compare their code metrics. R releases are shown for context.

1.4.7Latest
2026-05-03 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
1.4.6
2025-12-07 · diff ↗
R
R 4.5.0 released · 2025-04-11
1.4.5
2024-11-25 · diff ↗
R
R 4.4.0 released · 2024-04-24
1.4.4
2024-01-14 · diff ↗
R
R 4.3.0 released · 2023-04-21
1.4.3
2023-03-26 · diff ↗
1.4.2
2023-03-20 · diff ↗
1.4.1
2022-12-18 · diff ↗
1.4.0
2022-11-08 · diff ↗
1.3.1
2022-10-03 · diff ↗
1.3.0
2022-06-12 · diff ↗
1.2.1
2022-05-10 · diff ↗
1.2.0
2022-05-02 · diff ↗

Show 5 earlier events

R
R 4.2.0 released · 2022-04-22
1.1.0
2022-03-19 · diff ↗
1.0.1
2022-02-01 · diff ↗
1.0.0
2022-01-20
R
R 4.1.0 released · 2021-05-18

Package metadata

First published: 2022-01-20
Total releases: 15 / 4 yrs
License: MIT + file LICENSE OSI
Minimum R: ≥ 3.5.0
Bundled data: 263 KB / 2 files
Download size: 658 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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