[R-sig-Finance] multivariate GARCH

[Grant Farnsworth]

I believe the forthcoming mgarch package, which was discussed at UseR
2006, will (at least eventually) include DCC.  You can get the early
version of the BEKK model at

http://www.vsthost.com/vstDocs/projects/R/mgarchBEKK/

>From what I understand, the authors intend to post mgarch on CRAN fairly
soon.

Grant
________________________________________________________________________
Grant Verdell Farnsworth 
Ph.D. Candidate, Finance 
Kellogg School of Management

On Jul 06 at 04:10PM, Citta Francesco wrote:
> Dear Listers: I am interested to use the Dynamic Conditional
> Correlation model of Engle. I am wondering if there is some paper or
> reference on if this topic and there is some kind of implementation in
> R.  And how can I use multivariate GARCH in R?  Tanks, Francesco Citta