.pred_array_to_df

Helper function for as.data.frame.fitted, forecast. Converts predictive array to data.frame.

internal

Fit Bayesian multivariate GARCH models using 'Stan' for full Bayesian inference. Generate (weighted) forecasts for means, variances (volatility) and correlations. Currently DCC(P,Q), CCC(P,Q), pdBEKK(P,Q), and BEKK(P,Q) parameterizations are implemented, based either on a multivariate gaussian normal or student-t distribution. DCC and CCC models are based on Engle (2002) <doi:10.1198/073500102288618487> and Bollerslev (1990). The BEKK parameterization follows Engle and Kroner (1995) <doi:10.1017/S0266466600009063> while the pdBEKK as well as the estimation approach for this package is described in Rast et al. (2020) <doi:10.31234/osf.io/j57pk>. The fitted models contain 'rstan' objects and can be examined with 'rstan' functions.

Philippe Rast

bmgarch

Bayesian Multivariate GARCH Models

Stephen Martin

.pred_array_to_df function

<dl><dt>arr</dt>
<dd>Array to convert into data frame.</dd>
<dt>type</dt>
<dd>String. "backcast" or "forecast".</dd>
<dt>param</dt>
<dd>String. "var", "mean", or "cor".</dd></dl>

Arguments

Author

Convert predictive array to data.frame. — .pred_array_to_df

<dl>

<dt>arr</dt>
<dd>Array to convert into data frame.</dd>


<dt>type</dt>
<dd>String. "backcast" or "forecast".</dd>


<dt>param</dt>
<dd>String. "var", "mean", or "cor".</dd>

</dl>

.pred_array_to_df: Convert predictive array to data.frame.

Description

Usage

Value

Arguments

Author