There is a Burns Statistics working paper that describes an approach to getting multivariate garch when only univariate garch estimates are available.
Patrick Burns [EMAIL PROTECTED] +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User") Krishna wrote: >Hi R-users > >Can the users let me know how to do MGARCH estimate (Bivariate GARCH) >and volatility forecast for 2 variables in R. > >thanks and regards > >snvk > >______________________________________________ >[email protected] mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > > > > > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
