Hi,

I am quite familiar with univariate garch models but, unfortunately, not an expert on multivariate garch models. However, I would recommend that you have a look at this paper:
Bauwens, Laurent, Rombouts (2006): Multivariate garch models: a survey, J. of applied econometrics 21, pp. 79 - 109.
Chapter 3 in the following book provides a highly readable and not very technical description of the dynamic conditional correlation multivariate garch model of Engle (2002), which has been implemented in several statistical software packages but I am not not aware of an implementation in R.
Christoffersen (2003): Elements of financial risk management, Academic Press

The Engle reference is:
Engle (2002): Dynamic conditional correlation - a simple class of multivariate garch models, J. of business and economic statistics 20, pp. 339 - 350.

Hope this helps.

Best regards,

Michal



----- Original Message ----
From: Matthieu Boyer <matthieudm.boyer@gmail.com>
To: r-sig-finance@stat.math.ethz.ch
Sent: Sunday, March 30, 2008 12:40:40 PM
Subject: [R-SIG-Finance] Garch and multivariate garch

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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