Multivariate Conditional Volatility Modelling and Forecasting
Backtesting via Value-at-Risk (VaR)
bekkFit method
Estimating multivariate BEKK-type volatility models
BEKK specification method
BEKKs: Volatility modelling
Performing a Portmanteau test checking for remaining correlation in th...
Forecasting conditional volatilities with BEKK models
Simulating BEKK models
Calculating Value-at-Risk (VaR)
Estimating multivariate volatility impulse response functions (VIRF) f...
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>.