Am 08.06.2016 um 12:47 schrieb Riccardo (Jack) Lucchetti:
On Wed, 8 Jun 2016, Sven Schreiber wrote:
> Just an update:
>
> I have now registered with "Cross Validated" (which to my
> understanding is an alias or the same as the Statistics area within
> Stackexchange. I've answered some questions there, but the only
> gretl-related answer was "no, gretl doesn't have multivariate ARCH".
>
(
http://stats.stackexchange.com/questions/189675/easy-explanation-of-how-t...)
>
BTW: a multivariate GARCH function package should be on its way (thanks
to Francesca di Iorio for helping me on this). If anyone is interested
in a beta release for testing, I'll be happy to provide it. Not before
15/6, though.
As soon as an alpha-quality package exists (working on at least a toy
example) I could add a comment to my answer on CrossValidated,
announcing the new package.
cheers,
sven