[R] MGARCH BEKK estimation

2011-10-10 Thread upananda pani
Dear All, I want to estimate Bivariate Garch Model using MGARCHBEKK package. I am not able to understand some part of the command this function. mvBEKK.est(eps=lrdata, order = c(1,1), params = NULL, fixed = NULL, method = "BFGS", verbose = F) Here what exactly the eps refers to ? It would be rea

[R] mgarch-BEKK

2010-11-15 Thread TeBe
Dear all.. Can anybody help me with mgarchBEKK? After estimate bekk model, i want to check whether the residuals meet the required assumptions. Can i perform Portmanteau test, the ARCH-LM test, plots of the AC and PAC functions of the residuals? Can you give some example with the script

[R] mgarch

2009-05-07 Thread Joye Wang
The mgarchBEKK package can be downloaded from the author's website at http://www.vsthost.com/vstDocs/mgarchBEKK/release/ Cheers, Joye [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listin

Re: [R] mgarch

2007-12-24 Thread YOUNG CHO
First of all, thanks so much! In fact I had looked at the site before. But, that site leads me to the following site: http://www.vsthost.com/vstDocs/mgarchBEKK/ but it was not clear to me where I can find the package to download & compile. Is there some special website I need go to in order t

Re: [R] mgarch

2007-12-24 Thread Wensui Liu
Hi, Young, pls see if attached is what you are looking for. http://www.google.com/search?q=m-garch&domains=r-project.org&sitesearch=r-project.org&btnG=Google+Search On 12/24/07, Young Cho <[EMAIL PROTECTED]> wrote: > Is there a package or function for multivariate garch model in R? I am > having a

[R] mgarch

2007-12-24 Thread Young Cho
Is there a package or function for multivariate garch model in R? I am having a hard time in locating one. Thanks for help in advance. -Young [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman