All Questions
Tagged with covariance-estimation garch
2
questions
1
vote
0
answers
368
views
Estimating an GARCH(1,1) model? Long hand method
I am really trying to invest some time to estimate a GARCH(1,1) method, I know there is many statistical packages that will do this for me (Eviews, MATLAB, R), but I am trying to do this by hand, so ...
- 57
5
votes
4
answers
15k
views
Multivariate GARCH in Python
Is there a package to run simplified multivariate GARCH models in Python? I found the Arch package but that seems to work on only univariate models. I'd like to test out some of the more simple ...
- 1,641