R Packages for BEKK Multivariate GARCH and Hedge Analysis

Summary

The discussion concerns R software for estimating multivariate volatility models, especially BEKK-GARCH, in work involving volatility analysis and optimal hedge ratios. One answer points to the ccgarch package as an option. Another notes that some package workflows estimate a VECM first and then fit BEKK-GARCH to its residuals, raising a methodological question about whether the mean and variance models should instead be estimated jointly. A further answer identifies MTS as offering a BEKK(1,1) fit and suggests considering DCC-GARCH as a faster alternative with fewer practical problems.

These are brief package recommendations rather than a worked comparison or implementation guide. The document does not resolve whether two-stage residual fitting is appropriate for a particular specification, nor does it provide performance evidence or discuss model diagnostics. Researchers should treat the recommendations as starting points and verify package capabilities, estimation assumptions, and suitability for their data and hedge objective.

Key ideas

• The ccgarch package is suggested for BEKK-GARCH estimation in R.
• The discussion distinguishes fitting a VECM before BEKK-GARCH on residuals from estimating the models jointly.
• MTS is mentioned as providing a BEKK(1,1) fitting function.
• DCC-GARCH is suggested as a faster alternative that may avoid some BEKK difficulties.
• The package suggestions do not establish which estimation workflow is best for a specific hedge analysis.

Tags

# Any package to run VAR-GARCH or VECM-GARCH models in R?


# Any package to run VAR-GARCH or VECM-GARCH models in R?












I need to estimate a multivariate VECM-GARCH (or simply VAR-GARCH) in R.

Browsing on the internet, I did not find anything yet.

Do you know if such kind of packages exists?

Please, note that a BEKK approach is required since I am working on some optimal hedge ratio calculation and volatility analysis.

Any hint will be appreciated.

## Answer by Quantopik (score 3)

https://quant.stackexchange.com/a/18691

Yes, it exists and it is called `ccgarch` package.

You can install that by simply running in R `install.packages("ccgarch")` and learn more about that on the CRAN relative paper.

Moreover, I suggest you to read this lecture hold by the author during an R conference.

Hope this help.

## Answer by Hamed (score 0)

https://quant.stackexchange.com/a/18920

I tried using mgarchBEKK (or mgarch) but it seems like the package firstly estimate the VECM model, then use the residuals (Epsilon t) of the VECM (and their variances) in estimating the BEKK-GARCH model. I believe the correct method is to run the two models as a system, but I do not know how to proceed! Can anyone give me a hint please?

## Answer by Alejandro Andrade (score 0)

https://quant.stackexchange.com/a/22146

The `MTS` package has the fucntion to fit a `BEKK(1,1)` but i would recommend that you use a `dcc-garch` which has less problems that the BEKK approach an it is faster to run

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