[R-SIG-Finance] MAR-ARCH

[Ajay Shah]

> 1. Download the most recent version from
> 
> http://www.vsthost.com/vstDocs/mgarchBEKK/release/mgarchBEKK_0.07-8.tar.gz
> 
> 2. untar/zip
> tar xzf mgarchBEKK_0.07-8.tar.gz
> 
> 3. Fix _at_least_:
> mvBEKK.est
> line 475 has a trailing comma in the list of returned values after
> residuals. - get rid of
> 
> mvBEKK.sim
> line 252 has a trailing comma in the list of returned values AS WELL.
> - just delete it
> 
> 4. tarball back up for R CMD
> tar czf mgarchBEKK_0.07-8.tar.gz mgarchBEKK
> 
> 5. R CMD INSTALL mgarchBEKK_0.07-8.tar.gz

Jeff,

Thanks a lot! The mistakes you have identified (line 475 and line 252)
are obvious syntax errors. It's a wonder that R tolerated them
earlier.

As is well known with MV Garch models, there are difficulties with
convergence even with the example supplied with mvBEKK.est().

What will be great is if someone with access to other MVGARCH codes
will compare and contrast what mgarchBEKK reports for some standard
problems. E.g. imagine a recent 1000-day time-series for USD/EUR,
USD/JPY and USD/GBP. All three series are easily accessible from the
US Fed website. It would be great to have reference estimates for what
results come out for this problem from a few different codes with
different starting values and algorithms. Unfortunately, I don't have
any other MVGARCH codes so I'm not able to do this experimentation.

-- 
Ajay Shah                                      http://www.mayin.org/ajayshah  
ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
<*(:-? - wizard who doesn't know the answer.