plot.bmgarch

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

plot.bmgarch function

<dl><dt>x</dt>
<dd>bmgarch object.</dd>
<dt>type</dt>
<dd>String (Default: "mean"). Whether to plot conditional means ("mean"), variance ("var"), or correlations ("cor").</dd>
<dt>askNewPage</dt>
<dd>askNewPage Logical (Default: True). Whether to ask for new plotting page.</dd>
<dt>CrI</dt>
<dd>CrI Numeric vector (Default: <code>c(.025, .975)</code>). Lower and upper bound of predictive credible interval.</dd>
<dt>...</dt>
<dd>Not used</dd></dl>

Arguments

Author

Plot method for bmgarch objects. — plot.bmgarch

<dl>

<dt>x</dt>
<dd>bmgarch object.</dd>


<dt>type</dt>
<dd>String (Default: "mean"). Whether to plot conditional means ("mean"), variance ("var"), or correlations ("cor").</dd>


<dt>askNewPage</dt>
<dd>askNewPage Logical (Default: True). Whether to ask for new plotting page.</dd>


<dt>CrI</dt>
<dd>CrI Numeric vector (Default: <code>c(.025, .975)</code>). Lower and upper bound of predictive credible interval.</dd>


<dt>...</dt>
<dd>Not used</dd>

</dl>

plot.bmgarch: Plot method for bmgarch objects.

Description

Usage

Value

Arguments

Author