Re: [R] how I can perform Multivariate Garch analysis in R

From: Patrick Burns <>
Date: Tue 14 Feb 2006 - 20:46:00 EST

It is too late now, but this would have been better asked on the R-sig-finance list.

On 2005-09-22 there was an answer to a question on R-help "MGARCH estimation" that gave the address of a package for BEKK estimation.

There is a working paper on the Burns Statistics website that explains how to do multivariate GARCH estimation when you only have software for univariate estimation.

Patrick Burns
+44 (0)20 8525 0696
(home of S Poetry and "A Guide for the Unwilling S User")

Arun Kumar Saha wrote:

>Dear aDVISOR,
>Hope I am not disturbing you. Can you tell me how I can perform Multivariate
>Garch analysis in R. Also please, it is my humble request let me know some
>resource materials on Multivariate Garch analysis itself.
>Sincerely yours,
>Arun Kumar Saha, M.Sc.[C.U.]
>S T A T I S T I C I A N [Analyst]
>Transgraph Consulting []
>Hyderabad, INDIA
>Contact # Home: +91-033-25558038
> Office: +91-040-55755003
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>PLEASE do read the posting guide!
> mailing list PLEASE do read the posting guide! Received on Tue Feb 14 20:53:29 2006

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