As far as I know the "fGarch" package was never meant to perform MGARCH
analyses. That's why the package "mgarchBEKK" appears to be used for
such things. It's no wonder that your example doesn't change from the
univariate case to the multivariate case- you're likely using the wrong
tool.

On Wed, 2010-07-14 at 13:25 -0700, Geoffrey Smith wrote:

> Hello, I am trying to estimate a multivariate GARCH model using the fGarch
> package.  My problem is that the garchFit function does not output a
> parameter estimate for all of the variables nor do the parameter estimates
> change at all from the univariate case.  Here is the code that I am using:
> 
> options(scipen=999)
> 
> library('fGarch')
> 
> #generate the data for univariate garch estimation
> x.vec = as.vector(garchSim(garchSpec(rseed = 1985), n = 200)[,1])
> 
> #estimate the univariate garch parameters
> garchFit(~ garch(1,1), data = x.vec, trace = FALSE)
> 
> #observe that the alpha parameter is 0.089 and the beta parameter is 0.812
> 
> #generate the data for multivariate garch estimation
> X.mat = cbind(GARCH11 = x.vec, gamma = rnorm(200))
> 
> #estimate the multivariate garch parameters
> garchFit(GARCH11 ~ garch(1,1), data = X.mat)
> 
> #the parameters for alpha and beta are unchanged and there is no estimate
> for the gamma variable
> 
> Thank you.  Geoff
> 



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