> 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
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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
[EMAIL PROTE
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
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