Hello everybody,
I know that there is a lot of messages regarding this topic but it starts
becoming a wonderful mess!
I just wanted to know if I can chat some day with somebody who knows garch
models and more particularly multivariate garch model.
I'm a student and I'm working with a big insurance company on volatility
estimation and the next step is to work on correlation.
I've already done some research on the web and I've found 2 methods:
-first, use a little trick with an univariate garch (
http://www.burns-stat.com/pages/Working/multgarchuni.pdf)
-the second method consists in using mgarchbekk package.
As the whole theory about garch is quite recent, I don't have any hindsight
on it!

I hope that someone will help me!
Have a good day everybody!
Matt

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