Dear All I am looking for ARCH family model codes to run ARCH family models in R including Multivariate GARCH models like MGARCH BEKK, MGARCH VECH etc. If you can attach a file on all codes in R, I will be grateful to you.
For univariate GARCH models, you can employ "fGarch" and "rugarch" Package. Please, download the attached packages in PDF format.
I'm sure that you'll find the attached PDF of great importance. It is an introduction to rugarch package.
The "MTS" package is concerned with analyzing multivariate time series. The MTS package includes codes required for implementing BEKK GARCH, CCC GARCH, DCC GARCH, ..etc.
https://cran.r-project.org/web/packages/MTS/MTS.pdf
Using the below link, you can download the book of Ruppert and Matteson (2015) which uses R in analyzing financial data. It explains and provides codes required for implementing univariate and multivariate GARCH models.
http://lib.psylab.info/files/Ruppert2015.pdf
I am grateful to you dear Amira. I will go through all of your attached files and let you know incase I face any problem.
In addition, the package entitled "rmgarch" is designed to handle multivariate GARCH models..
https://cran.r-project.org/web/packages/rmgarch/rmgarch.pdf
Please navigate to the following link that provides background and properties of rmgarch models
https://cran.r-project.org/web/packages/rmgarch/vignettes/The_rmgarch_models.pdf
The book written by Bernhard Pfaff and entitled "Financial Risk Modelling and Portfolio Optimization with R" would be very useful.
http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470978708.html
The R package entitled " FRAPO" is to accompany the above mentioned book.
https://cran.r-project.org/web/packages/FRAPO/FRAPO.pdf
It's worth mentioning that the book entitled "Multivariate Time Series Analysis with R and Financial Application", by Tsay (2014), is to accompany the MTS package which is written also by Tsay.
http://eu.wiley.com/WileyCDA/WileyTitle/productCd-1118617908.html
The following link provides you excellent material for GARCH models and their R codes. The material is provided by Dr John Muteba Mwamba at University of Johannesburg . His research gate home page is provided in the second link.
http://www.analyticsresearch.net/Pages/MComFinancialEconomics.aspx
https://www.researchgate.net/profile/John_Muteba_Mwamba
Enjoy it !
http://faculty.washington.edu/ezivot/econ589/univariateGarch2012powerpoint.pdf
You can download the following book through the first link.
Shumway, R.H., & Stoffer, D.S., 2011, Time Series Analysis and Its Applications with R Examples, Springer Texts in Statistics.
http://www.stat.pitt.edu/stoffer/tsa3/tsa3.pdf
http://www.stat.pitt.edu/stoffer/tsa3/
The R package to accompany the above mentioned book is named "astsa"
https://cran.r-project.org/web/packages/astsa/astsa.pdf
A course in Time Series Analysis
https://www.stat.tamu.edu/~suhasini/teaching673/time_series.pdf
http://unstarched.net/r-examples/rugarch/a-short-introduction-to-the-rugarch-package/
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