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BEKKs

Multivariate Conditional Volatility Modelling and Forecasting

v1.4.6 · Dec 7, 2025 · MIT + file LICENSE
CRAN GitHub Mirror

Description

Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.

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CRAN Check Status

6 NOTE
8 OK
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r-devel-linux-x86_64-debian-clang NOTE
r-devel-linux-x86_64-debian-gcc NOTE
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-macos-arm64 OK
r-devel-windows-x86_64 NOTE
r-oldrel-macos-arm64 NOTE
r-oldrel-macos-x86_64 NOTE
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 NOTE
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK
Check details (6 non-OK)
NOTE r-devel-linux-x86_64-debian-clang

compiled code

File ‘BEKKs/libs/BEKKs.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-linux-x86_64-debian-gcc

compiled code

File ‘BEKKs/libs/BEKKs.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.
NOTE r-devel-windows-x86_64

compiled code

File 'BEKKs/libs/x64/BEKKs.dll':
  Found non-API call to R: 'R_UnboundValue'

Compiled code should not call non-API entry points in R.

See 'Writing portable packages' in the 'Writing R Extensions' manual,
and section 'Moving into C API compliance' for issues with the use of
non-API entry points.
NOTE r-oldrel-macos-arm64

installed package size

installed size is 14.3Mb
  sub-directories of 1Mb or more:
    libs  13.2Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 14.5Mb
  sub-directories of 1Mb or more:
    libs  13.5Mb
NOTE r-patched-linux-x86_64

compiled code

File ‘BEKKs/libs/BEKKs.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

Check History

NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE r-oldrel-macos-arm64

installed package size

installed size is 14.3Mb
  sub-directories of 1Mb or more:
    libs  13.2Mb
NOTE r-oldrel-macos-x86_64

installed package size

installed size is 14.5Mb
  sub-directories of 1Mb or more:
    libs  13.5Mb

Dependency Network

Dependencies Reverse dependencies Rcpp reshape2 ggplot2 mathjaxr gridExtra ggfortify xts future future.apply ks lubridate pbapply numDeriv moments BEKKs

Version History

new 1.4.6 Mar 10, 2026
updated 1.4.6 ← 1.4.5 diff Dec 6, 2025
updated 1.4.5 ← 1.4.4 diff Nov 24, 2024
updated 1.4.4 ← 1.4.3 diff Jan 13, 2024
updated 1.4.3 ← 1.4.2 diff Mar 25, 2023
updated 1.4.2 ← 1.4.1 diff Mar 19, 2023
updated 1.4.1 ← 1.4.0 diff Dec 17, 2022
updated 1.4.0 ← 1.3.1 diff Nov 7, 2022
updated 1.3.1 ← 1.3.0 diff Oct 2, 2022
updated 1.3.0 ← 1.2.1 diff Jun 11, 2022
updated 1.2.1 ← 1.2.0 diff May 9, 2022
updated 1.2.0 ← 1.1.0 diff May 1, 2022
updated 1.1.0 ← 1.0.1 diff Mar 18, 2022
updated 1.0.1 ← 1.0.0 diff Jan 31, 2022
new 1.0.0 Jan 19, 2022