Multivariate GARCH
On Mon, Dec 13, 2004 at 02:20:00PM +0100, DERUAZ Alexandre wrote:
Hello everybody. I found a thread on multivariate GARCH in archives, asking if something was being developped. Any news since then ? Is there any code available for some bivariate GARCH model fitting ?
At http://www.mayin.org/ajayshah/KB/R/R_for_economists.html I have a pointer to a half-there effort. At some point I had looked at the docs and they were great.
Ajay Shah Consultant ajayshah@mayin.org Department of Economic Affairs http://www.mayin.org/ajayshah Ministry of Finance, New Delhi