multivariate garch support? #201

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1. bashtage commented on Jan 3, 2018

   

   bashtage

   on Jan 3, 2018

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   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.
2. ppaanngggg commented on Jan 3, 2018

   

   ppaanngggg

   on Jan 3, 2018

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

   added

   enhancement

   on Sep 27, 2018