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/fGarch.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