Multivariate GARCH Models

:exclamation: This is a read-only mirror of the CRAN R package repository. rmgarch — Multivariate GARCH Models. Homepage: https://github.com/alexiosg/rmgarch

This is an usage exercise of rmgarch and ccgarch library

No description available

Tech Stack: R (rugarch, rmgarch, tsDyn, haven, zoo, pastecs)

bridge code if required for GS output to work with vinecopula and rmgarch-DCCcopula-GAS with MSGARCH

Python implementation of DCC and ADCC-GARCH (Engle 2002; Cappiello et al. 2006) reverse-engineered from rmgarch, with GJR-GARCH univariate models, a live daily forecasting system, and Streamlit dashboard — validated on 10 US equity sector ETFs (1998–2026).