Re: [R] Multivariate GARCH model in R

From: chiya sharma <chiya31_at_gmail.com>
Date: Wed 11 Apr 2007 - 12:59:13 GMT

 > 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?

There is a package in R for bivariate GARCH You can try search on "MGARCHBEKK".
Hope it helps,

Gaurav

        [[alternative HTML version deleted]]



R-help@stat.math.ethz.ch mailing list
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 Wed Apr 11 23:12:02 2007

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.1.8, at Wed 11 Apr 2007 - 13:31:06 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.