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Message #1738 of 4082 |

Hi friends,

Recently I am working on Multivariate Time series model like VARMA
(Vector autoregressive moving average) and also models like GARCH and
Multivariate GARCH.Would you give me some references of free
Statistical packages for calculation regarding this models?

Tue Sep 19, 2006 1:00 pm

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"maitytanmay" <maitytanmay@...>

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Message #1738 of 4082 |

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Hi friends, Recently I am working on Multivariate Time series model like VARMA (Vector autoregressive moving average) and also models like GARCH and ...	maitytanmay	Sep 19, 2006 1:29 pm
I think investigating R (http://www.r-project.org) would be a good idea. I don't know if there are implementations of multivariate GARCH, but there is a...	Patrick Burns burnsstat	Sep 19, 2006 10:43 pm
Hola! Something can be done in R (www.r-project.org) and then there is jmulti (www.jmulti.de) Kjetil Halvorsen...	Kjetil Halvorsen kjetil1001	Sep 19, 2006 10:49 pm
Use R www.r-project.org...	stat700004	Sep 19, 2006 10:50 pm
Hello Matlab 6.5 version contains the functions for fitting the GARCH model. Swathi maitytanmay <maitytanmay@...> wrote: Hi friends, Recently I am...	swathi shetty swathisona_s...	Sep 21, 2006 8:44 am
ya I agree Matlab has some in-built function for GARCH. But it is only for Univariate GARCH, not multivariate. However some people already wrote algo. for...	stat700004	Sep 22, 2006 8:30 am

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