BEKKs
Multivariate Conditional Volatility Modelling and Forecasting
v1.4.6
·
Dec 7, 2025
·
MIT + file LICENSE
Description
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>.
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r-oldrel-macos-arm64
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installed size is 14.3Mb
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libs 13.2Mb
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installed size is 14.5Mb
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1.4.6
Mar 9, 2026