Hi R,
I have three queries regarding handling GARCH functions in R. Below I
document the same:
Unlike S-Plus, R doesn't handle Multivariate GARCH models.
R has a package for BEKK GARCH model but not for DVEC GARCH models.
The GARCH function in S-PLUS has the capability of fixing some model
parameters at certain values to evaluate the fit of a particular model. But
the same optionality is not provided by the GARCH models in R.
So, how can I overcome these difficulties which I am facing in R? Are these
procedures in the development stage of R? (I mean the packages are yet to be
built?)..Any developmental work going on with this?
Thank a lot for your help,
Shubha
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