[Gretl-users] Multivariate GARCH models

Hi all, as you may know, we've had a function package called MGARCH, that I wrote, for estimating BEKK models. I'm about to retire it, since two new packages are now avaliable: *** a package called BEKK, which can be seen as an updated version of MGARCH. From the user's point of view, there are very few changes. The most notable one is that some functions have been renamed. Therefore, if you have scripts including the line "include MGARCH.gfn" you may want to change that to "include BEKK.gfn" and check for functions beginning with "Get_": those have now a different name. *** a new package called DCC, which, well, deals with DCC models. The authors are Giulio Palomba, Luca Pedini and myself. It's a brand new thing, so testing would be much appreciated. More generally speaking, testing is always good, so if you're into financial econometrics please give them a go and tell me is you like them. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------