mgarchBEKK (version 0.0.1)

BEKK: Provide the MGARCH-BEKK estimation procedure.

Description

Provide the MGARCH-BEKK estimation procedure.

Usage

BEKK(eps, order = c(1, 1), params = NULL, fixed = NULL, method = "BFGS",
  verbose = F)

Arguments

eps

Data frame holding time series.

order

BEKK(p, q) order

params

Initial parameters for the optim function.

fixed

Vector of parameters to be fixed.

method

The method that will be used by the optim function.

verbose

Indicates if we need verbose output during the estimation.

Value

• Estimation results packaged as BEKK class instance.

Examples

## Simulate series:
simulated <- simulateBEKK(2, 1000, c(1,1))

## Prepare the matrix:
simulated <- do.call(cbind, simulated$eps)

## Estimate with default arguments:
estimated <- BEKK(simulated)

## Show diagnostics:
diagnoseBEKK(estimated)