how I can perform Multivariate Garch analysis in R

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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")

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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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.
You could try    help.search("garch")   or
RSiteSearch("garch")

But for me this only leads to univariate garch (at least two 
implementations).

Kjetil
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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