It is too late now, but this would have been better asked on the R-sig-finance list.
On 2005-09-22 there was an answer to a question on R-help "MGARCH estimation" that gave the address of a package for BEKK estimation. There is a working paper on the Burns Statistics website that explains how to do multivariate GARCH estimation when you only have software for univariate estimation. 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") Arun Kumar Saha wrote: >Dear aDVISOR, >Hope I am not disturbing you. Can you tell me how I can perform Multivariate >Garch analysis in R. Also please, it is my humble request let me know some >resource materials on Multivariate Garch analysis itself. > >Sincerely yours, > > > >-- >Arun Kumar Saha, M.Sc.[C.U.] >S T A T I S T I C I A N [Analyst] >Transgraph Consulting [www.transgraph.com] >Hyderabad, INDIA >Contact # Home: +91-033-25558038 > Office: +91-040-55755003 > Mobile: 919849957010 >E-Mail: [EMAIL PROTECTED] > > [[alternative HTML version deleted]] > >______________________________________________ >[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
