stocks

A dataset used by Stata to illustrate MGARCH models containing daily data on returns of Toyota, Nissan, and Honda stocks.

datasets

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

stocks function

Data frame with 2015 rows and 5 variables:<dl>
 <dt>date</dt>
<dd>Date</dd> <dt>t</dt>
<dd>Sequential time index</dd> <dt>toyota</dt>
<dd>Daily returns for Toyota stock</dd> <dt>nissan</dt>
<dd>Daily returns for Nissan stock</dd> <dt>honda</dt>
<dd>Daily returns for Honda stock</dd>
</dl>

Format

Daily data on returns of Toyota, Nissan, and Honda stocks. — stocks

Data frame with 2015 rows and 5 variables:<dl>
 <dt>date</dt>
<dd>Date</dd>

 <dt>t</dt>
<dd>Sequential time index</dd>

 <dt>toyota</dt>
<dd>Daily returns for Toyota stock</dd>

 <dt>nissan</dt>
<dd>Daily returns for Nissan stock</dd>

 <dt>honda</dt>
<dd>Daily returns for Honda stock</dd>


</dl>

stocks: Daily data on returns of Toyota, Nissan, and Honda stocks.

Description

Usage

Arguments

Format