[R-SIG-Finance] "Multivariate Garch" Package in r

Brian G. Peterson brian at braverock.com
Fri Sep 28 13:13:38 CEST 2012

On 09/28/2012 06:06 AM, Serdar Neslihanoglu wrote:
> I need to analyse my multivariate data in R. I am going to also combine with  GARCH model.
> Hence I need to "mgarch" packages in R.  I find mgarch package (surge-Forge), but it is not installed from R.
> Can you suggest any R package for "mgarch".
> Please let me know whether I can analyse my data set  in R.

you probably want packages rugarch (univariate) and rmgarch 
(multivariate) from the 'rgarch' project on R-Forge.


 From inside R:

install.packages("rugarch", repos="http://R-Forge.R-project.org")
install.packages("rmgarch", repos="http://R-Forge.R-project.org")

There is extensive documentation, and they are discussed frequently in 
the archives of this list, so please read the documentation and search 
the list archives for answers to your inevitable questions when you run 
into trouble.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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