-----Urspr?ngliche Nachricht-----
Von: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von
Brian G. Peterson
Gesendet: Donnerstag, 9. Dezember 2010 15:57
An: r-sig-finance at r-project.org
Betreff: Re: [R-SIG-Finance] Multivariate GARCH
On 12/08/2010 08:39 PM, Charles Evans wrote:
Currently, I am working on an analysis of ETF premiums. I have
estimated ECMs for my sample, but the error terms exhibit
Is there a more straightforward way to estimate a
model than mgarch or mgarchBEKK? I have searched for a usable
tutorial, and I have been unable to find any other than
Jeff Ryan's post from 2007:
ch.txt
Can anyone direct me to a tutorial that lays out how one
multivariate GARCH model in R? I'm not asking for a lesson in basic
econometrics, just an R-related URL that a researcher in a
hurry can use.
packages:
mgarch, mgarchBekk, and ccgarch can all estimate multivariate
GARCH models. To the best of my knowledge, fGarch cannot.
Regards,
- Brian