[R-SIG-Finance] Multivariate GARCH

[4dscape.com]

rgarch on r-forge also does DCC and GO-GARCH.
Regards,
Alexios Ghalanos

On Dec 9, 2010, at 3:16 PM, "Pfaff, Bernhard Dr." <Bernhard_Pfaff at fra.invesco.com> wrote:

> 
> 
>> -----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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