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Thread Subject: bivariate garch

Subject: bivariate garch

From: Chirackel Yoonus

Date: 2 Apr, 2009 11:26:01

Message: 1 of 2

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hi,
How I can estimate bivariate garch model in MATLAB ?

Thanks
Yoonus

Subject: bivariate garch

From: Bruce Crochat

Date: 9 Apr, 2009 13:59:02

Message: 2 of 2

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Hi Yoonus,

Look at the UCSD GARCH Toolbox of Kevin Sheppard :

http://www.kevinsheppard.com/wiki/UCSD_GARCH

There's some fonctions to estimate multivariate GARCH.

Bruce

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Tag Activity for This Thread
Tag	Applied By	Date/Time
garcch	Chirackel Yoonus	2 Apr, 2009 07:34:55