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Multivariate ARCH Tracking
Long-term plan to implement some multivariate GARCH models:
First Stage:
- [ ] Base classes
- [ ] Constant Covariance volatility
- [ ] Multivariate Normal distribution
- [ ] Constant Mean Second Stage:
- [ ] VAR-X mean model
- [ ] VAR, LR, Constant Mean refactor, ZeroMean as special cases of VAR-X Third Stage:
- [ ] Scalar BEKK with 1-step estimation
- [ ] Scalar BEKK with 2-step estimation
- [ ] Scalar BEKK with 3-step estimation (targetting)
- [ ] Scalar BEKK with composite estimation (1, 2 and 3 step) Fourth Stage:
- [ ] Multivariate Student's t distribution Fifth Stage:
- [ ] Other BEKK and Matrix GARCH models
- [ ] DCC (1-step and 2-step, full and composite) and cDCC (1-, 2- and 3-step, full and composite)
- [ ] Other GARCH models (OGARCH, GO-GARCH??)
xref #201