Multivariate Conditional Volatility Modelling and Forecasting


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Documentation for package ‘BEKKs’ version 1.0.1

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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
GoldStocksBonds Gold stock and Bond returns
StocksBonds Daily stock and Bond returns
VaR Calculating Value-at-Risk (VaR)