[R] MGARCH estimation

Vehbi Sinan Tunalioglu
Thu, 22 Sep 2005 08:08:39 -0000

There is a package available at
http://www.vsthost.com/materials/wordpress/mgarchBEKK_0.07-6.tar.gz

Actually we were planning to make a later release, but this might help you.

Regards,
Vehbi Sinan

Patrick Burns wrote:
> There is a Burns Statistics working paper that describes
> an approach to getting multivariate garch when only
> univariate garch estimates are available.
>
> 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")
>
> Krishna wrote:
>
>
>>Hi R-users
>>
>>Can the users let me know how to do MGARCH estimate (Bivariate GARCH)
>>and volatility forecast for 2 variables in R.
>>
>>thanks and regards
>>
>>snvk
>>
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