Dear All,
I attempted to fit a DVEC and a BEKK multivariate GARCH model, but am
wondering which package to use.
1. I tried to use "rmgarch" package in R, but I couldn't find the
subroutines for DVEC and BEKK.
2. I tried to find "rmgarch" package of R, which is not located on the
official R site. This is the latest version I can find, where the programs
were uploaded 2 years ago.
https://github.com/vst/mgarch/downloads
Are there later versions? Is there a manual on the functions?
Thanks,
Miao
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