R-bmgarch

v 2.0.0 Updated: 10 months ago

Bayesian multivariate GARCH models

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

https://cran.r-project.org/package=bmgarch

To install R-bmgarch, paste this in macOS terminal after installing MacPorts

sudo port install R-bmgarch

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