R-bmgarch (R/R-bmgarch) Updated: 2 years, 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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10.11 213619 2023-03-08 19:19:38 0:41:00 69446 build successful
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10.12 221637 2023-03-08 9:26:33 0:30:41 68246 build successful
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13.arm64 10605 2023-03-08 1:47:17 0:05:37 4117 build successful