Hi guys, I've already done some research on the topic and would like to ask you for advice. As stated in the topic, I need to estimate multivariate GARCH parameters using QML. I've been looking for an appropriate package for R and out of many that I've encountered the only one that seems promising is fGarch; precisely the garchFit function. But the description of the function states that it's a function for univariate time series. However, the example provides a multivariate case, though it's not very specific. So my question is: is the function garchFit the best one to estimate parameters using the QML or should I better use other packages for convenience. I apologize if the question seems trivial, but I can't find a definitive answer to it. Best regards, Masher
QMLE of MGARCH
2 messages · Masher Masher, Dirk Eddelbuettel
Masher Masher <masher6666 <at> gmail.com> writes:
So my question is: is the function garchFit the best one to estimate parameters using the QML or should I better use other packages for convenience.
You may want to look at the rmgarch package. Dirk