R help - Apr 2007 - Multivariate GARCH model in R

Hi R users,

 

            Heard that I can't use multivariate GARCH model in R because
R has only univariate GARCH models.... So, how can I run a multivariate
GARCH model in R? 

Also, SPLUS has this utility...any ideas how can I use it in R?

 

Thanks

Shubha


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One approach is to use one of a few tricks to get multivariate
estimates with multiple calls of a univariate estimator.  See

http://www.burns-stat.com/pages/Working/multgarchuni.pdf

By the way, this question would have been a good candidate
for the r-sig-finance list.


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")

Shubha Vishwanath Karanth wrote:
>Hi R users,
>
> 
>
>            Heard that I can't use multivariate GARCH model in R because
>R has only univariate GARCH models.... So, how can I run a multivariate
>GARCH model in R? 
>
>Also, SPLUS has this utility...any ideas how can I use it in R?
>
> 
>
>Thanks
>
>Shubha
>
>
>	[[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
>and provide commented, minimal, self-contained, reproducible code.
>
>
>  
>

> Heard that I can't use multivariate GARCH model in R because
>R has only univariate GARCH models.... So, how can I run a multivariate
>GARCH model in R?
There is a package in R for bivariate GARCH
You can try search on "MGARCHBEKK".
Hope it helps,

Gaurav

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