Pedro Angosto

2 Questions 2 Answers 0 Followers

Questions related from Pedro Angosto

How do you specify GARCH BEKK type models in finance using R?

BEKK models are known for being computationally demanding, but it is also complicated to find a way to estimate them in R. We found packages that allow to estimate BEKK variance parameters, but...

21 May 2025 8,834 0 View

Do you know which is the best package to conduct a bivariate GARCH in R?

I've tried with many packages, but the main issue arises when you want to introduce additional variables in the mean and the variance equation as well. For example, if you want to introduce news...

16 February 2024 7,149 2 View