Spencer Graves spencer.graves at pdf.com
Tue Oct 24 06:50:54 CEST 2006

  RSiteSearch("MGARCH") returned 10 hits. Have you reviewed these to see 
if any can handle "dynamic conditional correlation"? If not, I would 
think that some of what is available could be modified or extended 
without excessive difficulty to do what you want. Similarly, Google 
returned 43 hits for "DCC-MGARCH". Have you reviewed those to see what 
software they used? Depending on the language in which these other 
algorithms have been programmed, it might not be too difficult to either 
link from R to it, if it is written in a standard compiled language, or 
to translate the code into R, if it is something like Matlab.

If you'd like further help from this listserve, please provide 
commented, minimal, self-contained, reproducible code, as suggested in 
the posting guide "www.R-project.org/posting-guide.html".

Hope this helps.
Spencer Graves

bechir raggad wrote:
> Hi,
>     I’m interested in application of DCC-MGARCH (DCC Engle(2002), Tse and Tsui (2002)) for some financial and economic data. 
>   Would you tell me if  there any existing codes on Splus, R or Gauss?
>     Thank you
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