Multivariate GARCH

Am 20.10.2010 16:51, schrieb Giuseppe Grillo:

HI! I'm student of university and i need an example (an application) of Multivariate GARCH model for replicate it in my thesis. It's better with model CCC e DCC.

Best Regards
Giuseppe

for answer: bepperozzano at hotmail.com

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______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

First of:

PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.


And your problem was, again?

A number of hints: read the relevant papers, then come up with something 
to apply it to - finance data are a favorite - then get it working with 
e. g. the rgarch or fgarch packages. If you have any problems in the 
actual application, this list - or R Finance - might help you.

If this should prove too much work for you, you should ask yourself if 
university is really for you.

HTH
Owe

Owe Jessen
Nettelbeckstr. 5
24105 Kiel
post at owejessen.de
http://privat.owejessen.de