Message-ID: <38368FA6-61CD-49CE-BE72-B958A0B1A829@comcast.net>
Date: 2013-02-19T01:29:22Z
From: David Winsemius
Subject: Are there multivariate GARCH packages in R?
In-Reply-To: <CABcx46D62+W9CW66LsfX_3L8_9b2GU+M=-RuAhYZQgX9UHWN+Q@mail.gmail.com>
On Feb 18, 2013, at 5:16 PM, jpm miao wrote:
> Hi ,
>
> Are there any multivariate GARCH package (e.g., BEKK) in R?
>
> I do see a few "projects" constructing multivariate GARCH package, but
> wonder if there is anyone that is ready for use.
What efforts have you made at searching? In particular have you tried the `findFn` function in package sos?
--
David Winsemius
Alameda, CA, USA