multivariate garch

Topic was visited during October (and before...)

The current version (if 2006 is current) of the software in the link
that Brian provided is broken.  To get it working required a little
bit of source editing.  Conveniently I posted the fix back then as
well.  I have the edited source which I can also post on quantmod.com
or email for those interested (assuming that is within the license -
of which I have not checked).

Either way, the link provides the fix.

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

Enjoy.

Jeff

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.

-Young

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