[R] multivariate Stochastic Volatility and GARCH

[wssecn]

For DCC (and others multivariate garch models) see Kevin Sheppad's UCSD GARCH Toolbox:

http://www.kevinsheppard.com/wiki/UCSD_GARCH

Hope this helps,


Washington S. Silva

> Dear everyone,
>  
> i`m a german economics student, writing my master´s thesis about
> "Multivariate Volatility Models". After having read about theoretical
> aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like
> to compare DCC-GARCH and DC-SV with help of an empirical application. I
> figuered out that one has to use MCMC-simulation-methods for that. Some days
> ago I started searching the internet for already written codes... without
> any succes. The only code I found is from Yu and Meyer (2006) using BUGS
> -which I don't want to use- for making estimation and inference using
> Gibbs-Sampling.
>  
> So the reason for me mailing you is that I`m searching for codes considering
> estimation of DCC or/and DC using matlab. I would also be thankfull for
> one-step methods like Gibbs. I hope my mailing was more or less
> undestandable and that any of you may be able to help me. 
>  
>  
> Thanks a lot in advance!!!!!
>  
> Dennis Tuerk 
>  
> 
> 	[[alternative HTML version deleted]]
> 
>