I have a multivariate garch program with does
a p,q varma for the means and a p,q diagonal vector
arch/garch analysis for the covariances. If there
is interest I would like to make it available as a
package in R -- but I know almost nothing about
how this is accomplished. So I need an interested person to hold my hand
as it were.
The program is written in C++.
--
Dave Fournier, Otter Research Ltd
PO Box 2040, Sidney, B.C. V8L 3S3, Canada
250-655-3364
email: otter at otter-rsch.com http://otter-rsch.com
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._