Multivariate garch based on pca in matlab

The following Matlab project contains the source code and Matlab examples used for multivariate garch based on pca . The code takes a multiple returns vector and generate covariance martix.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
license.txt 1308
uni_multi_garch.m 3166

SocialTags: