[R-sig-finance] Multivariate GARCH

[Ajay Shah]

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