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I'm looking for a package that lets me estimate a vector autoregressive model with a mean equation consisting or perhaps an ARIMA and then a GARCH part. It is not of great importance what multivariate GARCH method is used and could thus be anything from a VECH to BEKK. I know that there is a package called mgarch out there but it does not seem to be in CRAN.

Any suggestions?

user2182066
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1 Answers1

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The mgarch package is hosted on Github. It's available here.

In order to install R packages from Github you can use devtools from Hadley. This previous question address how to do this: How to install development version of R packages github repository.

There is also rugarch which provides possibility of external regressors and also ccgarch which deals with Conditional Correlation GARCH models.

A deep look in CRAN Finance's TaskView will give a good idea of the available packages in this area.

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João Daniel
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