search for: mgarchbekk

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]]

Is there a package or function for multivariate garch model in R? I am having a hard time in locating one. Thanks for help in advance. -Young [[alternative HTML version deleted]]

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]]

Dear all.. Can anybody help me with mgarchBEKK? After estimate bekk model, i want to check whether the residuals meet the required assumptions. Can i perform Portmanteau test, the ARCH-LM test, plots of the AC and PAC functions of the residuals? Can you give some example with the script in R? Please.. Thank You So Much [[alte...

I used "mgarch" and "mgarchBEKK" packages to esti,ate a BEKK?model ,but i cannot get the P-value of the coefficient ? how can I get P-value ,anyone can help me ? thanks -- View this message in context: http://r.789695.n4.nabble.com/BEKK-help-tp3674545p3674545.html Sent from the R help mailing list archive at Nabble.c...