README.Rmd

---
output: 
  bookdown::github_document2:
    number_sections: false
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(
  comment = "#>",
  collapse = TRUE,
  fig.path = "../output/figs/README-",
  out.width = "70%",
  fig.align = "center",
  fig.width = 6,
  fig.asp = .618,
  echo = FALSE
  )
options(digits = 3)
```

# Bayesian Vector Heterogeneous Autoregressive Modeling

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[![JSCS-DOI](https://img.shields.io/badge/JSCS-10.1080/00949655.2023.2281644-brightgreen.svg)](https://doi.org/10.1080/00949655.2023.2281644)
<!-- badges: end -->

## 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/](https://github.com/ygeunkim/paper-bvhar/tree/master/r) Codes and R markdown
- [data/](https://github.com/ygeunkim/paper-bvhar/tree/master/data) Datasets used in this research
- [docs/](https://github.com/ygeunkim/paper-bvhar/tree/master/docs) Rendered documents

### Tools

- `R`
- `LaTex`

### Required R packages

- [ygeunkim/bvhar](https://github.com/ygeunkim/bvhar)
    - v0.9.0: in [Zenodo](https://doi.org/10.5281/zenodo.6814790)
    - v0.12.0: for revision (MVT generation)
    - Also, available via [releases](https://github.com/ygeunkim/bvhar/releases) in the repo.
- [tidyverse](https://www.tidyverse.org)
- [knitr](https://yihui.org/knitr/)
- [kableExtra](https://haozhu233.github.io/kableExtra/)
- [parallel](https://stat.ethz.ch/R-manual/R-devel/library/parallel/doc/parallel.pdf)
- [foreach](https://github.com/RevolutionAnalytics/foreach)
- [gridExtra](https://cran.r-project.org/web/packages/gridExtra/index.html)
- [qwraps2](https://cran.r-project.org/web/packages/qwraps2/index.html)

## Results

### Simulation

- [Consistency](https://github.com/ygeunkim/paper-bvhar/blob/master/docs/sim-consistency.md) Posterior Consistency Simulation
- [MVT](https://github.com/ygeunkim/paper-bvhar/blob/master/docs/sim-stylized.md) Simulation with MVT-generated innovation

### Empirical analysis

- [VIX](https://github.com/ygeunkim/paper-bvhar/blob/master/docs/analysis.md) CBOE ETF VIX

## Code of Conduct

Please note that the paper-bvhar project is released with a [Contributor Code of Conduct](https://contributor-covenant.org/version/2/0/CODE_OF_CONDUCT.html). By contributing to this project, you agree to abide by its terms.