R help - Feb 2006 - how I can perform Multivariate Garch analysis in R

Dear aDVISOR,
Hope I am not disturbing you. Can you tell me how I can perform Multivariate
Garch analysis in R. Also please, it is my humble request let me know some
resource materials on Multivariate Garch analysis itself.

Sincerely yours,



--
Arun Kumar Saha, M.Sc.[C.U.]
S T A T I S T I C I A N    [Analyst]
Transgraph Consulting [www.transgraph.com]
Hyderabad, INDIA
Contact # Home: +91-033-25558038
               Office: +91-040-55755003
               Mobile: 919849957010
E-Mail: arun.kumar.saha@gmail.com

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It is too late now, but this would have been better
asked on the R-sig-finance list.

On 2005-09-22 there was an answer to a question
on R-help "MGARCH estimation" that gave the address
of a package for BEKK estimation.

There is a working paper on the Burns Statistics website
that explains how to do multivariate GARCH estimation
when you only have software for univariate estimation.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Arun Kumar Saha wrote:
>Dear aDVISOR,
>Hope I am not disturbing you. Can you tell me how I can perform Multivariate
>Garch analysis in R. Also please, it is my humble request let me know some
>resource materials on Multivariate Garch analysis itself.
>
>Sincerely yours,
>
>
>
>--
>Arun Kumar Saha, M.Sc.[C.U.]
>S T A T I S T I C I A N    [Analyst]
>Transgraph Consulting [www.transgraph.com]
>Hyderabad, INDIA
>Contact # Home: +91-033-25558038
>               Office: +91-040-55755003
>               Mobile: 919849957010
>E-Mail: arun.kumar.saha at gmail.com
>
>	[[alternative HTML version deleted]]
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
>
>
>
>  
>

Arun Kumar Saha wrote:
> Dear aDVISOR,
> Hope I am not disturbing you. Can you tell me how I can perform
Multivariate
> Garch analysis in R. Also please, it is my humble request let me know some
> resource materials on Multivariate Garch analysis itself.
You could try    help.search("garch")   or
RSiteSearch("garch")

But for me this only leads to univariate garch (at least two 
implementations).

Kjetil
> 
> Sincerely yours,
> 
> 
> 
> --
> Arun Kumar Saha, M.Sc.[C.U.]
> S T A T I S T I C I A N    [Analyst]
> Transgraph Consulting [www.transgraph.com]
> Hyderabad, INDIA
> Contact # Home: +91-033-25558038
>                Office: +91-040-55755003
>                Mobile: 919849957010
> E-Mail: arun.kumar.saha at gmail.com
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
>