Hello, Does any one know any implementation of the Asymmetric (in volatility) DCC MGARCH. I used the toolbox of sheppard but I have some problems in generalizing the GARCH-DCC-MGARCH to the Asymmetric one (EGARCH -DCC-MGARCH, GJR- DCC-MGARCH) Would you please correct to me the code that I wrote on Matlad or give me any existiong code on R,Splus or gauss? Thanks James, R --------------------------------- Looking for earth-friendly autos? Browse Top Cars by "Green Rating" at Yahoo! Autos' Green Center. [[alternative HTML version deleted]]