Multivariate GARCH

-----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 

ARCH behavior.

Is there a more straightforward way to estimate a 

multivariate GARCH 

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:

https://stat.ethz.ch/pipermail/r-sig-finance/2007q4/001833.html

and Ruey Tsay's transcript at:

http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2010/fGar

ch.txt


Can anyone direct me to a tutorial that lays out how one 

estimates a 

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

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock