Re: [R] Multivariate GARCH model in R

From: Patrick Burns <pburns_at_pburns.seanet.com>
Date: Mon 02 Apr 2007 - 16:38:59 GMT

One approach is to use one of a few tricks to get multivariate estimates with multiple calls of a univariate estimator. See

http://www.burns-stat.com/pages/Working/multgarchuni.pdf

By the way, this question would have been a good candidate for the r-sig-finance list.

Patrick Burns
patrick@burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Shubha Vishwanath Karanth wrote:

>Hi R users,
>
>
>
> Heard that I can't use multivariate GARCH model in R because
>R has only univariate GARCH models.... So, how can I run a multivariate
>GARCH model in R?

>
>Also, SPLUS has this utility...any ideas how can I use it in R?
>
>
>
>Thanks
>
>Shubha
>
>
> [[alternative HTML version deleted]]
>
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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue Apr 03 02:43:05 2007

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