[R-SIG-Finance] [R-sig-Finance] [R-sig-finance] Multivariate GARCH with only univariate estimation

[Brian G. Peterson]

On Tuesday 01 August 2006 20:31, Edward wrote:
> Have you or anyone you know implemented a computer algorithm to perform
> the PC-Garch technique? I'm interested in doing this myself using, for
> example, R software, but I'd like to know if it has already been done
> yet or not.

There are a number of GARCH functions available in the fSeries package 
that is part of RMetrics (installable from CRAN).  We've used them with 
some success here.  You may be able to use them or adapt them to your 
needs.

Regards,

  - Brian