Re: [R] multivariate Stochastic Volatility and GARCH

For DCC (and others multivariate garch models) see Kevin Sheppad's UCSD GARCH Toolbox: http://www.kevinsheppard.com/wiki/UCSD_GARCH Hope this helps, Washington S. Silva > Dear everyone, > > i`m a german economics student, writing my master´s thesis about > "Multivariate Volatility Models".

[R] multivariate Stochastic Volatility and GARCH

Dear everyone, i`m a german economics student, writing my master´s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application.