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R and Stata Options for VAR–GARCH and BEKK Models

Article Quant Q&A · Author: Mars
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Summary

The discussion points to software options for estimating multivariate volatility models. One answer recommends RATS, describing built-in VAR-GARCH support with several covariance specifications, including CCC, DCC, VECH, and BEKK. Another suggests the MTS package in R for a BEKK(1,1) model, if that is what the questioner means by VAR-EGARCH.

The guidance is brief and does not establish that either option implements every possible VAR-EGARCH formulation. It gives no Stata-specific formula, comparison of packages, estimation details, or empirical results. The main practical lesson is to clarify the intended model specification, since the label VAR-EGARCH may refer to distinct multivariate GARCH structures, and then check that a candidate tool supports the required form. The suggestions are pointers rather than a full implementation guide, and the exchange offers no evidence about model performance or suitability for a particular thesis.

Key ideas

  • RATS is suggested for VAR-GARCH estimation with several covariance structures.
  • The MTS package in R is suggested for a BEKK(1,1) model.
  • The answers do not provide a Stata implementation or explain how to estimate the models.
  • The appropriate software depends on what the researcher means by VAR-EGARCH.

Tags

StatisticsVolatility
Full text
# Is there an implementation of VAR-EGARCH model in R or Stata?


# Is there an implementation of VAR-EGARCH model in R or Stata?












I am writing my undergrad honor thesis and want to run a multivariable VAR-EGARCH model.

Is there any package in R or formulas in Stata 14 that allows me to implement directly?

If not, could you give me some advice?

## Answer by Sadhak (score 1)

https://quant.stackexchange.com/a/22804

You can use RATS software in which VAR GARCH is inbuilt function with CCC, DCC VECH and BEKK for co-variance estimation.

## Answer by Alejandro Andrade (score 0)

https://quant.stackexchange.com/a/22171

If for VAR-EGARCH you mean a BEKK model the `MTS`package in R can implement a BEKK(1,1)

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.