[R] MGARCH program

[Martin Maechler]

>>>>> "dave" == dave fournier <otter-rsch at home.com> writes:

    dave> I have a multivariate garch program with does
    dave> a p,q varma for the means and a p,q diagonal vector
    dave> arch/garch analysis for the covariances. If there
    dave> is interest I would like to make it available as a
    dave> package in R -- but I know almost nothing about
    dave> how this is accomplished. So I need an interested person to hold my hand
    dave> as it were.

    dave> The program is written in C++.

CRAN package  "tseries" already has some garch stuff.
I'd recommend you contact its author (who is pretty knowledgable about R
programming), and even consider adding your code to that tseries package.

This would (hopefully) ensure a consistent naming scheme for functions,
arguments , result class()es, etc...

Martin

    dave> --
    dave> Dave Fournier, Otter Research Ltd
    dave> PO Box 2040, Sidney, B.C. V8L 3S3, Canada
    dave> 250-655-3364
    dave> email: otter at otter-rsch.com http://otter-rsch.com
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