Package: bmgarch
Title: Bayesian Multivariate GARCH Models
Version: 2.1.0
Date: 2026-05-20
Authors@R: c(
	   person(given = "Philippe",
           family = "Rast",
           role = c("aut", "cre"),
           email = "rast.ph@gmail.com",
           comment = c(ORCID = "0000-0003-3630-6629")),
  	    person(given = "Stephen",
           family = "Martin",
           role = c("aut"),
           email = "stephenSRMmartin@gmail.com",
	   comment = c(ORCID = "0000-0001-8085-2390"))
	   )
Description: 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, alongside a constant covariance baseline (that can be used for testing whether GARCH is warranted), 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.  
License: GPL (>= 3)
Depends: methods, R (>= 4.0.0), Rcpp (>= 1.0.5)
Imports: forecast, ggplot2, loo, MASS, Rdpack, rstan (>= 2.26.0),
        rstantools (>= 2.1.1)
LinkingTo: BH (>= 1.72.0-0), Rcpp (>= 1.0.5), RcppParallel (>= 5.0.1),
        RcppEigen (>= 0.3.3.7.0), RcppParallel (>= 5.0.1), rstan (>=
        2.26.0), StanHeaders (>= 2.26.0)
RdMacros: Rdpack
Encoding: UTF-8
LazyData: true
NeedsCompilation: yes
SystemRequirements: GNU make
Suggests: cmdstanr, posterior, testthat (>= 2.3.2)
Additional_repositories: https://stan-dev.r-universe.dev
BugReports: https://github.com/ph-rast/bmgarch/issues
Biarch: true
Config/roxygen2/version: 8.0.0
Packaged: 2026-05-21 04:18:30 UTC; philippe
Author: Philippe Rast [aut, cre] (ORCID:
    <https://orcid.org/0000-0003-3630-6629>),
  Stephen Martin [aut] (ORCID: <https://orcid.org/0000-0001-8085-2390>)
Maintainer: Philippe Rast <rast.ph@gmail.com>
Repository: CRAN
Date/Publication: 2026-05-21 06:10:02 UTC
Built: R 4.5.3; x86_64-w64-mingw32; 2026-07-04 05:12:13 UTC; windows
Archs: x64
