OK, I am trying to implement the two dimension GAS model in R of this
paper:

*A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities
and Correlations*
, but the 'optim' function in R always give me a error message:

Error in solve.default(mSigma) :
  system is computationally singular: reciprocal condition number =
2.97425e-20

Don't know where i made a mistake


On Sun, Mar 9, 2014 at 12:57 PM, Robert A Yaffee <bob.yaffee@nyu.edu> wrote:

> Jun,
>    No.  They are univariate GAS, EGAS, and AEGAS models.
>      -   Bob
>
>
>
> On Sun, Mar 9, 2014 at 9:43 AM, Gmail <junluke@gmail.com> wrote:
>
>> Bob,
>>
>> Is that a univariate version? I am interested on the multivariate gas
>> model.
>>
>> Thanks,
>> Jun
>>
>> Sent from my iPad
>>
>> On Mar 9, 2014, at 3:08 AM, Robert A Yaffee <bob.yaffee@nyu.edu> wrote:
>>
>> Jun,
>>   You may want to look for the model under the rubric of dynamic
>> conditional score model (a.k.a. Dysco),
>>   which is the version of it that Andrew Harvey and Tirthankar
>> Chakravarti developed.
>>         Cheers,
>>      Bob Yaffee
>>
>>
>> On Sun, Mar 9, 2014 at 3:00 AM, Robert A Yaffee <bob.yaffee@nyu.edu>wrote:
>>
>>> Jun,
>>>    The model is available in the OxMetrics version 7's G@RCH module.  I
>>> haven't seen it in R yet.
>>>       -  Bob Yaffee
>>>
>>>
>>>
>>> On Sat, Mar 8, 2014 at 11:25 PM, jun wang <junluke@gmail.com> wrote:
>>>
>>>> Dear all,
>>>>
>>>> Any of you have implemented Koopman's GAS model in R? I am writing code
>>>> in
>>>> R trying to replicate the results of this paper:
>>>> *A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities
>>>> and Correlations*
>>>> I am having a hard time to get my code work. Any advice would be very
>>>> appreciated.
>>>>
>>>> Thanks,
>>>> Jun
>>>>
>>>>         [[alternative HTML version deleted]]
>>>>
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>>>
>>>
>>>
>>> --
>>> Bob Yaffee
>>>
>>> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>>>
>>> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
>>>
>>
>>
>>
>> --
>> Bob Yaffee
>>
>> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>>
>> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
>>
>>
>
>
> --
> Bob Yaffee
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>
> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
>

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