R-bmgarch (R/R-bmgarch) Updated: 1 year, 4 months ago Add to my watchlist

Bayesian multivariate GARCH models

Fit Bayesian multivariate GARCH models using Stan for full Bayesian inference. Generate (weighted) forecasts for means, variances (volatility) and correlations.

Version: 2.0.0 License: GPL-3+ GitHub
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