Bayesian Vector Heterogeneous Autoregressive Modeling

Overview

This is a repository for researching Bayesian VHAR.

• Extend BVAR to vector HAR model
• Two-forms of priors: BVHAR-S and BVHAR-L
• Posterior consistency
• Compare the forecasting performance

Files

• R/ Codes and R markdown
• data/ Datasets used in this research
• docs/ Rendered documents

Tools

• R
• LaTex

Required R packages

• ygeunkim/bvhar
  • v0.9.0: in Zenodo
  • v0.12.0: for revision (MVT generation)
  • Also, available via releases in the repo.
• tidyverse
• knitr
• kableExtra
• parallel
• foreach
• gridExtra
• qwraps2

Results

Simulation

• Consistency Posterior Consistency Simulation
• MVT Simulation with MVT-generated innovation

Empirical analysis

• VIX CBOE ETF VIX

Code of Conduct

Please note that the paper-bvhar project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.