[R] forecasting correlation with Garch

Dirk Eddelbuettel edd at debian.org
Mon Jul 29 17:21:25 CEST 2002

> Hello R group,
> I'm using the tseries package to forecast variance and I would like to do
> the same with correlation.
> and I want to predict the correlation matrix,
> how can I do that?

You cannot. A (standard) Garch is univariate, correlation requires a 
multivariate model. There is a cottage industry of papers on multivariate
Garch out there, but the problem is hard (in both a statistical and 
numerical sense).

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