search for: rmgarch

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]]

Dear All, I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am wondering which package to use. 1. I tried to use "rmgarch" package in R, but I couldn't find the subroutines for DVEC and BEKK. 2. I tried to find "rmgarch" package of R, which is not located on the official R site. This is the latest version I can find, where the programs were uploaded 2 years ago. https://github.com/vst/mgarch...

Hi, I have used R rmgarch package to implement EGARCH ADCC model from which I can extract conditional covariance matrix. Now I would like to introduce positive and/or negative shocks to see the asymmetric response of covariance. I have come to know that impulse response function (IRF) or volatility IRF is not compatible for...