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bmgarch

Bayesian Multivariate GARCH Models

v2.0.0 · Sep 11, 2023 · GPL (>= 3)
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Description

Fit Bayesian multivariate GARCH models using 'Stan' for full Bayesian inference. Generate (weighted) forecasts for means, variances (volatility) and correlations. Currently DCC(P,Q), CCC(P,Q), pdBEKK(P,Q), and BEKK(P,Q) parameterizations are implemented, based either on a multivariate gaussian normal or student-t distribution. DCC and CCC models are based on Engle (2002) <doi:10.1198/073500102288618487> and Bollerslev (1990). The BEKK parameterization follows Engle and Kroner (1995) <doi:10.1017/S0266466600009063> while the pdBEKK as well as the estimation approach for this package is described in Rast et al. (2020) <doi:10.31234/osf.io/j57pk>. The fitted models contain 'rstan' objects and can be examined with 'rstan' functions.

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r-devel-linux-x86_64-debian-clang NOTE
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r-devel-linux-x86_64-fedora-gcc NOTE
r-devel-macos-arm64 NOTE
r-devel-windows-x86_64 NOTE
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Check details (20 non-OK)
NOTE r-devel-linux-x86_64-debian-clang

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-linux-x86_64-debian-gcc

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-linux-x86_64-fedora-clang

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-linux-x86_64-fedora-gcc

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-macos-arm64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-windows-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-oldrel-macos-arm64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-oldrel-macos-arm64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.
NOTE r-oldrel-macos-arm64

installed package size

  installed size is 189.6Mb
  sub-directories of 1Mb or more:
    libs  188.8Mb
NOTE r-oldrel-macos-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-oldrel-macos-x86_64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.
NOTE r-oldrel-macos-x86_64

installed package size

  installed size is 194.6Mb
  sub-directories of 1Mb or more:
    libs  193.8Mb
NOTE r-oldrel-windows-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-oldrel-windows-x86_64

for GNU extensions in Makefiles

GNU make is a SystemRequirements.
NOTE r-oldrel-windows-x86_64

installed package size

  installed size is  9.0Mb
  sub-directories of 1Mb or more:
    libs   8.3Mb
NOTE r-patched-linux-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-linux-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-macos-arm64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-macos-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-windows-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^

Check History

NOTE 0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE r-devel-linux-x86_64-debian-clang

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-linux-x86_64-debian-gcc

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-linux-x86_64-fedora-clang

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-linux-x86_64-fedora-gcc

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-macos-arm64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-devel-windows-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-patched-linux-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-linux-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-macos-arm64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-macos-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-release-windows-x86_64

Rd files

checkRd: (-1) dot-pred_array_to_df.Rd:20: Lost braces; missing escapes or markup?
    20 | Helper function for as.data.frame.{fitted, forecast}. Converts predictive array to data.frame.
       |                                   ^
NOTE r-oldrel-macos-arm64

installed package size

  installed size is 189.6Mb
  sub-directories of 1Mb or more:
    libs  188.8Mb
NOTE r-oldrel-macos-x86_64

installed package size

  installed size is 194.6Mb
  sub-directories of 1Mb or more:
    libs  193.8Mb
NOTE r-oldrel-windows-x86_64

installed package size

  installed size is  9.0Mb
  sub-directories of 1Mb or more:
    libs   8.3Mb

Dependency Network

Dependencies Reverse dependencies Rcpp forecast ggplot2 loo MASS Rdpack rstan rstantools bmgarch

Version History

new 2.0.0 Mar 9, 2026