1 research outputs found
BayesDccGarch - An Implementation of Multivariate GARCH DCC Models
Multivariate GARCH models are important tools to describe the dynamics of
multivariate times series of financial returns. Nevertheless, these models have
been much less used in practice due to the lack of reliable software. This
paper describes the {\tt R} package {\bf BayesDccGarch} which was developed to
implement recently proposed inference procedures to estimate and compare
multivariate GARCH models allowing for asymmetric and heavy tailed
distributions