bayesDccGarch3.0.4 package

Methods and Tools for Bayesian Dynamic Conditional Correlation GARCH(1,1) Model

bayesDccGarch-package

bayesDccGARCH: Methods and tools for Bayesian analysis of DCC-GARCH(1,...

bayesDccGarch

Bayesian Estimation of the DCC-GARCH(1,1) Model.

densityFunctions

Density functions of multivariate Standard Skew Norm, t-Student and GE...

logLikDccGarch

The logarithm of likelihood function of DCC-GARCH(1,1) Model.

plot.bayesDccGarch

Plotting volatilities for Bayesian DCC-GARCH model

plotVol

Plotting volatilities of time series

predict.bayesDccGarch

Bayesian forecast for volatilities and coditional correlations

Download source packageRead PDF manual

Bayesian estimation of dynamic conditional correlation GARCH model for multivariate time series volatility (Fioruci, J.A., Ehlers, R.S. and Andrade-Filho, M.G., (2014). <doi:10.1080/02664763.2013.839635>.

  • Maintainer: Jose Augusto Fiorucci
  • License: GPL (>= 2)
  • Last published: 2023-04-22

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