[R-SIG-Finance] multivariate garch

[Jeff Ryan]

Topic was visited during October (and before...)

The current version (if 2006 is current) of the software in the link
that Brian provided is broken.  To get it working required a little
bit of source editing.  Conveniently I posted the fix back then as
well.  I have the edited source which I can also post on quantmod.com
or email for those interested (assuming that is within the license -
of which I have not checked).

Either way, the link provides the fix.

https://stat.ethz.ch/pipermail/r-sig-finance/2007q4/001833.html

Enjoy.

Jeff

On Dec 24, 2007 3:30 PM, YOUNG CHO <young.stat at gmail.com> wrote:
> Does R have a package for multivariate garch models, BEKK or VECH ?
> Some functions like mgarch in splus, is what I am searching for.
>
> Thanks so much for help in advance.
>
> -Young
>
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