Package: bayesDccGarch 3.0.4
bayesDccGarch: Methods and Tools for Bayesian Dynamic Conditional Correlation GARCH(1,1) Model
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>.
Authors:
bayesDccGarch_3.0.4.tar.gz
bayesDccGarch_3.0.4.zip(r-4.7-x86_64)bayesDccGarch_3.0.4.zip(r-4.7-arm64)bayesDccGarch_3.0.4.zip(r-4.6-x86_64)bayesDccGarch_3.0.4.zip(r-4.6-arm64)bayesDccGarch_3.0.4.zip(r-4.5-x86_64)
bayesDccGarch_3.0.4.tgz(r-4.6-x86_64)bayesDccGarch_3.0.4.tgz(r-4.6-arm64)bayesDccGarch_3.0.4.tgz(r-4.5-x86_64)bayesDccGarch_3.0.4.tgz(r-4.5-arm64)
bayesDccGarch_3.0.4.tar.gz(r-4.7-arm64)bayesDccGarch_3.0.4.tar.gz(r-4.7-x86_64)bayesDccGarch_3.0.4.tar.gz(r-4.6-arm64)bayesDccGarch_3.0.4.tar.gz(r-4.6-x86_64)
bayesDccGarch_3.0.4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
bayesDccGarch/json (API)
| # Install 'bayesDccGarch' in R: |
| install.packages('bayesDccGarch', repos = c('https://jafiorucci.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/jafiorucci/bayesdccgarch/issues
- DaxCacNik - Log-returns of daily indices of stock markets in Frankfurt, Paris and Tokio
Last updated from:a554c59855. Checks:13 NOTE, 2 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | NOTE | 89 | ||
| linux-devel-x86_64 | NOTE | 92 | ||
| source / vignettes | OK | 179 | ||
| linux-release-arm64 | NOTE | 114 | ||
| linux-release-x86_64 | NOTE | 85 | ||
| macos-release-arm64 | NOTE | 110 | ||
| macos-release-x86_64 | NOTE | 284 | ||
| macos-oldrel-arm64 | NOTE | 95 | ||
| macos-oldrel-x86_64 | NOTE | 428 | ||
| windows-devel-arm64 | NOTE | 331 | ||
| windows-devel-x86_64 | NOTE | 183 | ||
| windows-release-arm64 | NOTE | 315 | ||
| windows-release-x86_64 | NOTE | 78 | ||
| windows-oldrel-x86_64 | NOTE | 89 | ||
| wasm-release | OK | 77 |
Exports:bayesDccGarchdssgeddssnormdsstincreaseSimlogLikDccGarchplot.bayesDccGarchplotVolpredict.bayesDccGarchupdate.bayesDccGarch
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| bayesDccGARCH: Methods and tools for Bayesian analysis of DCC-GARCH(1,1) Model. | bayesDccGarch-package |
| Bayesian Estimation of the DCC-GARCH(1,1) Model. | bayesDccGarch increaseSim update update.bayesDccGarch window window.bayesDccGarch |
| Log-returns of daily indices of stock markets in Frankfurt, Paris and Tokio | DaxCacNik |
| Density functions of multivariate Standard Skew Norm, t-Student and GED distributions | dssged dssnorm dsst |
| The logarithm of likelihood function of DCC-GARCH(1,1) Model. | logLikDccGarch |
| Plotting volatilities for Bayesian DCC-GARCH model | plot plot.bayesDccGarch |
| Plotting volatilities of time series | plotVol |
| Bayesian forecast for volatilities and coditional correlations | predict predict.bayesDccGarch |