Message-ID: <20060708181336.GA8129@dhcp-129-105-194-62.kellogg.northwestern.edu>
Date: 2006-07-08T18:13:36Z
From: Grant Farnsworth
Subject: multivariate GARCH
In-Reply-To: <000b01c6a106$16cdce60$4f5a1997@y6c3m0>
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