[R] MGARCH estimation

Patrick Burns pburns at pburns.seanet.com
Wed Sep 21 18:57:23 CEST 2005

There is a Burns Statistics working paper that describes
an approach to getting multivariate garch when only
univariate garch estimates are available.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
(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
>R-help at stat.math.ethz.ch mailing list
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

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