1
$\begingroup$

I`m new to programming and searching a package for R which inherents the estimation for a Vech Garch(1,1). This is a multivariate Garch model which forms the residuals and the covariance matrix from a NxN matrix to a N(N+1)/2 vector. I can only find DCC and BEKK estimation.

Does somebody know a package or source of code for this estimation?

$\endgroup$
  • $\begingroup$ I have some experience with both GARCH models and R, but so far have not seen VECH-GARCH implemented in R. $\endgroup$ – Richard Hardy Apr 11 '16 at 18:42
  • $\begingroup$ Try with this: cran.r-project.org/web/packages/rmgarch/rmgarch.pdf but I'm not sure there is what you want. $\endgroup$ – simmy Apr 12 '16 at 7:31
  • $\begingroup$ I already tried the rmgarch package, but no vech sadly. @Richard Hardy, do you know the BEKK code from Github github.com/vst/mgarch/blob/master/R/mvBEKK.est.R ? And are you experienced enough to give me an advice to rewrite it? I tried but I lag experience in programming. $\endgroup$ – Nils Apr 12 '16 at 18:43
  • $\begingroup$ No, sorry, I do not have enough experience with BEKK. $\endgroup$ – Richard Hardy Apr 12 '16 at 18:56
  • $\begingroup$ Ok, but have you ever performed an estimation for 210 parameters? If yes, how long did take the code to complete. And did you maybe used constrOptim() in it? $\endgroup$ – Nils Apr 13 '16 at 11:57
1
$\begingroup$

Try the mgarch package, it's available at CRAN. In this link you will find an example from Prof. Zivot.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.