multivariate garch

Brian G. Peterson · 2007-12-25T13:43:16Z

Brian G. Peterson wrote: > YOUNG CHO wrote: >> Does R have a package for multivariate garch models, BEKK or VECH ? >> Some functions like mgarch in splus, is what I am searching for. >> >> Thanks so much for help in advance. > > Have you tried the 'mgarch' or 'mgarchBEKK' packages? Sorry, not on CRAN, so I suppose a link would help: http://www.vsthost.com/pages/RStuff.php Regards, - Brian

Young Cho multivariate garch Dec 24

Brian G. Peterson multivariate garch Dec 25

Jeff Ryan multivariate garch Dec 25

Brian G. Peterson multivariate garch Dec 25

Jeff Ryan multivariate garch Dec 25

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