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I tried using mgarchBEKK (or mgarch) but it seems like the package firstly estimate the VECM model, then use the residuals (Epsilon t) of the VECM (and their variances) in estimating the BEKK-GARCH model. I believe the correct method is to run the two models as a system, but I do not know how to proceed! Can anyone give me a hint please?


Yes, it exists and it is called ccgarch package. You can install that by simply running in R install.packages("ccgarch") and learn more about that on the CRAN relative paper. Moreover, I suggest you to read this lecture hold by the author during an R conference. Hope this help.

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