Dear All, I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am wondering which package to use.
1. I tried to use "rmgarch" package in R, but I couldn't find the subroutines for DVEC and BEKK. 2. I tried to find "rmgarch" package of R, which is not located on the official R site. This is the latest version I can find, where the programs were uploaded 2 years ago. https://github.com/vst/mgarch/downloads Are there later versions? Is there a manual on the functions? Thanks, Miao [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org 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.