[R-SIG-Finance] R-SIG-Finance Digest, Vol 29, Issue 9

Citta Francesco fcitta at inwind.it
Thu Oct 26 15:39:11 CEST 2006

I have your same problem... I hope to help you at least with the DCC-MGARCH.
First, if you have Matlab in the Sheppard's homepage you can find a very
interesting package about DCC, it covers only the simmetric and simpler DCC
For Gauss you can read the paper "International Stock Markets Interactions
and Conditional Correlations" wrote by Savva, send him an email and ask the
most recent version and the GAUSS code (christos.savva at manchester.ac.uk).
In R I find the estimation very hard. You can start visting the Patrick
Burn's homepage: http://www.burns-stat.com/ and download the paper called
"Multivariate GARCH with Only Univariate Estimation". Alternatively or in
addition, you can visit the Vehbi Sinan's homepage:
It is usefull for the BEKK estimation but reading the documentation it seems
that it is possible to extend this estimation to the DCC model but I am not
If you find something about DCC tell me...
Good luck
----- Original Message -----
From: <r-sig-finance-request at stat.math.ethz.ch>
To: <r-sig-finance at stat.math.ethz.ch>
Sent: Tuesday, October 17, 2006 12:00 PM
Subject: R-SIG-Finance Digest, Vol 29, Issue 9

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>   1. DCC-MGARCH (bechir raggad)
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> Date: Mon, 16 Oct 2006 13:36:33 +0200 (CEST)
> From: bechir raggad <raggadbechir at yahoo.fr>
> Subject: [R-SIG-Finance] DCC-MGARCH
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <20061016113633.82480.qmail at web26612.mail.ukl.yahoo.com>
> Content-Type: text/plain
> 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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