[R-sig-finance] Multivariate GARCH
Ajay Shah
ajayshah at mayin.org
Tue Dec 14 06:28:45 CET 2004
On Mon, Dec 13, 2004 at 02:20:00PM +0100, DERUAZ Alexandre wrote:
> Hello everybody.
>
> I found a thread on multivariate GARCH in archives, asking if something
> was being developped.
> Any news since then ?
>
> Is there any code available for some bivariate GARCH model fitting ?
At http://www.mayin.org/ajayshah/KB/R/R_for_economists.html I have a
pointer to a half-there effort. At some point I had looked at the docs
and they were great.
--
Ajay Shah Consultant
ajayshah at mayin.org Department of Economic Affairs
http://www.mayin.org/ajayshah Ministry of Finance, New Delhi
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