Hi guys,
I've already done some research on the topic and would like to ask you for
advice. As stated in the topic, I need to estimate multivariate GARCH
parameters using QML. I've been looking for an appropriate package for R and
out of many that I've encountered the only one that seems promising is
fGarch; precisely the garchFit function. But the description of the function
states that it's a function for univariate time series. However, the example
provides a multivariate case, though it's not very specific.
So my question is: is the function garchFit the best one to estimate
parameters using the QML or should I better use other packages for
convenience.
I apologize if the question seems trivial, but I can't find a definitive
answer to it.
Best regards, Masher
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