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

[Patrick Burns]

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
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(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 [www.transgraph.com]
>Hyderabad, INDIA
>Contact # Home: +91-033-25558038
>               Office: +91-040-55755003
>               Mobile: 919849957010
>E-Mail: arun.kumar.saha at gmail.com
>
>	[[alternative HTML version deleted]]
>
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