[R] Multivariate GARCH model in R

[Patrick Burns]

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
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")

Shubha Vishwanath Karanth wrote:

>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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