BEKKs: Multivariate Conditional Volatility Modelling and Forecasting
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>.
| Version: | 1.4.6 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp,reshape2,ggplot2,mathjaxr,gridExtra, grid,ggfortify, parallel,xts, stats,future,future.apply,ks,lubridate, utils,pbapply,numDeriv,moments |
| LinkingTo: | Rcpp,RcppArmadillo |
| Suggests: | testthat (≥ 2.1.0) |
| Published: | 2025-12-07 |
| DOI: | 10.32614/CRAN.package.BEKKs |
| Author: | Markus J. Fülle [aut, cre], Alexander Lange [aut], Christian M. Hafner [aut], Helmut Herwartz [aut] |
| Maintainer: | Markus J. Fülle <markus.fuelle at gmail.com> |
| License: | MIT + fileLICENSE |
| NeedsCompilation: | yes |
| SystemRequirements: | C++17 |
| Citation: | BEKKs citation info |
| CRAN checks: | BEKKs results |
Documentation:
Downloads:
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=BEKKsto link to this page.