multivariate garch support?

[ppaanngggg]

I found there is no multivariate garch models in Python.

Could you add multivariate support?

[bashtage]

There are no immediate plans to add it. I worked on it a little in a branch but there isn't a full model. There was a lot of design thought required to make it sensible given the additional challenges of multivariate GARCH model estimation.

[ppaanngggg]

@bashtage Thank you very much. I try to implement it by myself, but I am sucked in optimizing params.