bayesDccGarch-package

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

In this package we implemented functions for Bayesian analysis of DCC-GARCH(1,1) Model using the same modelling of Fioruci et al (2014a). Several probabilities distributions are available for the errors which can model both skewness and heavy tails. See Fioruci et al (2014b) for more details about the package. package

Details

Package:	bayesDccGarch
Type:	Package
Version:	3.0.4
Date:	2023-04-21
License:	GPL (>=2.14)

bayesDccGarch(mY, n_sim = 10000)

Author(s)

Jose Augusto Fiorucci, Ricardo Sandes Ehlers and Francisco Louzada. Maintainer: Jose Augusto Fiorucci jafiorucci@gmail.com

References

Fioruci, J.A., Ehlers, R.S., Andrade Filho, M.G. Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions, Journal of Applied Statistics, 41(2), 320--331, 2014a, doi:10.1080/02664763.2013.839635.

Fioruci, J.A., Ehlers, R.S., Louzada, F. BayesDccGarch - An Implementation of Multivariate GARCH DCC Models, ArXiv e-prints, 2014b. https://ui.adsabs.harvard.edu/abs/2014arXiv1412.2967F/abstract

See Also

Available functions: bayesDccGarch, update, predict, plot, logLikDccGarch, dssnorm, dsst, dssged, plotVol

Examples

data(DaxCacNik)

out = bayesDccGarch(DaxCacNik)

summary(out)

plot(out)