Good day everyone, I tried to find a multivariate GARCH package and failed to find one. Although when I searched R I found the following link which describes the package: http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf can any one help me with this issue. Thank you in advance [[alternative HTML version deleted]]
in the seond link on the pdf you have cited is http://www.vsthost.com/vstDocs/mgarchBEKK/ HTH. On Mar 4, 1:52?pm, Mohammad Sabr <mohammad_s... at yahoo.com> wrote:> Good day everyone, > ? > I tried to find a multivariate GARCH package and failed to find one. Although when I searched R I found the following link which describes the package: > ?http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf > ? > can any one help me with this issue. > ? > Thank you in advance > ? ? ? ? [[alternative HTML version deleted]] > > ______________________________________________ > R-h... at r-project.org mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.
Dear Mohammad, have a look at the finance task view on CRAN: http://cran.at.r-project.org/web/views/Finance.html (Dirk has nicely updated this page recently). In addition, Patrick Burns provides a recipe for PC-GARCH models on his web-site: http://www.burns-stat.com/pages/Working/multgarchuni.pdf HTH, Bernhard> >Good day everyone, >? >I tried to find a multivariate GARCH package and failed to >find one. Although when I searched R I found the following >link which describes the package: >? >http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf >? >can any one help me with this issue. >? >Thank you in advance > [[alternative HTML version deleted]] > >***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}}