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I'm looking for an R package and coding to simulate a multivariate Garch process with jump diffusion. Is there a package or R code I can replicate and modify?

Glenn
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  • Have you done any research of your own for such a package? I was able to find a few from a simple Google search. – OTStats Jan 18 '19 at 05:39

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After a quick search I found this paper: High-dimensional GARCH process segmentation with an application to Value-at-Risk by Haeran Cho and Karolos K. Korkas. Link to their paper here.

In their abstract they reference their package, segMGarch, which is available on CRAN (Documentation can be found here).

I found this with very little effort. Consider looking into CRAN packages, other questions on StackOverflow (I found this one in the related posts), or simply Googling it.

OTStats
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