New answers tagged multivariate
I personally use the simple Garch(1,1) for volatility filtering in the risk management area. In fact in most cases I don't even estimate the parameters, I stick 0.94 for mean reversion, 0.04 for the squared error and I get the constant by matching the series variance. My experience is that there is no point pretending to finetune parameters when vol is ...
Slight correction: the package in R is called rmgarch, not mgarch. It works well with rugarch, which provides a variety of univariate GARCH models. Both packages allow for parallelized computation on local cluster and return a nice and full set of fitted parameters, model specs, etc. I provided some additional links in this post.
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