Edward,

Patrick Burns provides the required instructions http://www.burns-stat.com/.
Have a look at Working Papers. I have followed Patrick's instructions and
written a function for that. I am testing it and experimenting with
different Garch specifications inside the function.

Regards,
Hannu

On 8/2/06, Edward <edward.m@psu.ac.th> wrote:
>
> Hi,
> Have you or anyone you know implemented a computer algorithm to perform
> the PC-Garch technique?
> I'm interested in doing this myself using, for example, R software, but
> I'd like to know if it has already been done yet or not.
> Thanks.
> Edward McNeil
> Lecturer
> Prince of Sonkgla University
> Hat Yai
> THAILAND
> --
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