There is a package available at http://www.vsthost.com/materials/wordpress/mgarchBEKK_0.07-6.tar.gz
Actually we were planning to make a later release, but this might help you. Regards, Vehbi Sinan Patrick Burns wrote: > 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 ______________________________________________ [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
