[R-SIG-Finance] Multivariate GARCH

[Pfaff, Bernhard Dr.]

> -----Ursprüngliche Nachricht-----
> Von: r-sig-finance-bounces at r-project.org 
> [mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von 
> Brian G. Peterson
> Gesendet: Donnerstag, 9. Dezember 2010 15:57
> An: r-sig-finance at r-project.org
> Betreff: Re: [R-SIG-Finance] Multivariate GARCH
> 
> On 12/08/2010 08:39 PM, Charles Evans wrote:
> > Currently, I am working on an analysis of ETF premiums.  I have 
> > estimated ECMs for my sample, but the error terms exhibit 
> ARCH behavior.
> >
> > Is there a more straightforward way to estimate a 
> multivariate GARCH 
> > model than mgarch or mgarchBEKK? I have searched for a usable 
> > tutorial, and I have been unable to find any other than 
> Jeff Ryan's post from 2007:
> >
> > https://stat.ethz.ch/pipermail/r-sig-finance/2007q4/001833.html
> >
> > and Ruey Tsay's transcript at:
> >
> > 
> http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2010/fGar
> > ch.txt
> >
> >
> > Can anyone direct me to a tutorial that lays out how one 
> estimates a 
> > multivariate GARCH model in R? I'm not asking for a lesson in basic 
> > econometrics, just an R-related URL that a researcher in a 
> hurry can use.
> 
> packages:
> 
> mgarch, mgarchBekk, and ccgarch can all estimate multivariate 
> GARCH models.  To the best of my knowledge, fGarch cannot.
> 
> Regards,
> 
>    - Brian
> 

to toss in one more into the bowl of packages: gogarch

Regards,
Bernhard


> 
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
> 
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