One approach is to use one of a few tricks to get multivariate estimates with multiple calls of a univariate estimator. See
http://www.burns-stat.com/pages/Working/multgarchuni.pdf By the way, this question would have been a good candidate for the r-sig-finance list. 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") Shubha Vishwanath Karanth wrote: >Hi R users, > > > > Heard that I can't use multivariate GARCH model in R because >R has only univariate GARCH models.... So, how can I run a multivariate >GARCH model in R? > >Also, SPLUS has this utility...any ideas how can I use it in R? > > > >Thanks > >Shubha > > > [[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 >and provide commented, minimal, self-contained, reproducible code. > > > > ______________________________________________ [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 and provide commented, minimal, self-contained, reproducible code.
