Message-ID: <e8e755250712250810k47233716y62d787d8c18092ab@mail.gmail.com>
Date: 2007-12-25T16:10:39Z
From: Jeff Ryan
Subject: multivariate garch
In-Reply-To: <811D829B-4711-4A2E-B64A-A4F5180925C8@gmail.com>
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
On Dec 24, 2007 3:30 PM, YOUNG CHO <young.stat at gmail.com> 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.
>
> -Young
>
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