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Welcome to quant.SE! I do not have specific experience with the CARR Model, however, I had a short look in the paper you mentioned: As far as I understand the model specification you just implement a GARCH(p,q) estimation for the range $R_t:=\max{P_\tau}-\min{P_\tau}$ where $\tau=t-1,t-1+\frac{1}{n},\dots,t$ where $n$ is the number of intervals used in ...


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You can use RATS software in which VAR GARCH is inbuilt function with CCC, DCC VECH and BEKK for co-variance estimation.



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