I should create a VAR model with Garch error in R but i don't know how to do it and which package to use. The Vector Autoregressive model (or VECM) should also have covariates in it. Then I should perform a gaussian quasi-likelihood estimation. Anyone who could help me? Thank you

  • $\begingroup$ In my experience the vars package is best for VAR modeling, and the rugarch package for GARCH modeling. Without more information I'd have a tough time being much help. Hopefully these can get you started if you poke around the documentation a bit. $\endgroup$ – Jacob Amos Feb 22 '16 at 18:24
  • $\begingroup$ I have seen a few questions about VAR-GARCH here but i don't know which model do you refer to. If you just want to estimate a multivariate GARCH model you can look at the rmgarch or MTS packages in R. They have different models like DCC-GARCH, BEKK, etc.. $\endgroup$ – Alejandro Andrade Feb 23 '16 at 8:27
  • $\begingroup$ you must use the residuals of your VAR model, to estimate the MGARCH. $\endgroup$ – Nerys Ramirez Mordan Aug 12 '18 at 11:37

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