[R-SIG-Finance] About multivariate GARCH: DVEC and BEKK

[alexios ghalanos]

Hi,

Please don't cross post to both r-hep and r-sig-finance. Either one or 
the other, and from your question it is most likely more relevant to the 
latter.

1. rmgarch does not support either DVEC or BEKK, nor will it ever likely 
support these models since its stated goal is to provide feasible models 
for medium to large scale estimation (which neither DVEC nor the full 
BEKK can accommodate because of dimensionality issues).
2. It can be downloaded from code.google.com/p/rmgarch (you will also 
need to download the latest development version of rugarch, also from 
google code). There is full documentation, a vignette and numerous examples.
3. The "mgarch" code you cite from github is NOT related to rmgarch.

Regards,
Alexios

On 21/02/2013 06:51, jpm miao wrote:
> Dear All,
>
>     I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am
> wondering which package to use.
>
>    1. I tried to use "rmgarch" package in R, but I couldn't find the
> subroutines for DVEC and BEKK.
>
>    2. I tried to find "rmgarch" package of R, which is not located on the
> official R site. This is the latest version I can find, where the programs
> were uploaded 2 years ago.
>
>      https://github.com/vst/mgarch/downloads
>
>      Are there later versions? Is there a manual on the functions?
>
>     Thanks,
>
> Miao
>
> 	[[alternative HTML version deleted]]
>
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