how I can perform Multivariate Garch analysis in R
It is too late now, but this would have been better asked on the R-sig-finance list. On 2005-09-22 there was an answer to a question on R-help "MGARCH estimation" that gave the address of a package for BEKK estimation. There is a working paper on the Burns Statistics website that explains how to do multivariate GARCH estimation when you only have software for univariate estimation. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User")
Arun Kumar Saha wrote:
Dear aDVISOR,
Hope I am not disturbing you. Can you tell me how I can perform Multivariate
Garch analysis in R. Also please, it is my humble request let me know some
resource materials on Multivariate Garch analysis itself.
Sincerely yours,
--
Arun Kumar Saha, M.Sc.[C.U.]
S T A T I S T I C I A N [Analyst]
Transgraph Consulting [www.transgraph.com]
Hyderabad, INDIA
Contact # Home: +91-033-25558038
Office: +91-040-55755003
Mobile: 919849957010
E-Mail: arun.kumar.saha at gmail.com
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