multivariate GARCH
I believe the forthcoming mgarch package, which was discussed at UseR 2006, will (at least eventually) include DCC. You can get the early version of the BEKK model at http://www.vsthost.com/vstDocs/projects/R/mgarchBEKK/
From what I understand, the authors intend to post mgarch on CRAN fairly
soon. Grant ________________________________________________________________________ Grant Verdell Farnsworth Ph.D. Candidate, Finance Kellogg School of Management
On Jul 06 at 04:10PM, Citta Francesco wrote:
Dear Listers: I am interested to use the Dynamic Conditional Correlation model of Engle. I am wondering if there is some paper or reference on if this topic and there is some kind of implementation in R. And how can I use multivariate GARCH in R? Tanks, Francesco Citta