在 R 中執行 VAR-GARCH 或 VECM-GARCH 模型的任何軟體包？

我需要在 R 中估計一個多元 VECM-GARCH（或簡稱 VAR-GARCH）。

在網際網路上瀏覽，我還沒有找到任何東西。

你知道這種包是否存在嗎？

請注意，由於我正在研究一些最佳對沖比率計算和波動率分析，因此需要使用 BEKK 方法。

Any hint will be appreciated.

Yes, it exists and it is called ccgarch package.

You can install that by simply running in R install.packages("ccgarch") and learn more about that on the CRAN relative paper.

Moreover, I suggest you to read this lecture hold by the author during an R conference.

Hope this help.

I tried using mgarchBEKK (or mgarch) but it seems like the package firstly estimate the VECM model, then use the residuals (Epsilon t) of the VECM (and their variances) in estimating the BEKK-GARCH model. I believe the correct method is to run the two models as a system, but I do not know how to proceed! Can anyone give me a hint please?

引用自：https://quant.stackexchange.com/questions/18687