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This thread is about OGARCH add-in.

The add-in allows you to build and estimate Orthogonal GARCH model, which is a member of Multivariate GARCH-family. It can handle very large covariance matrices and therefore ease the computational burden on volatility estimates and/or VaR-type calculations. The add-in is written/designed with primarily educational purposes in mind.

Please read the documentation for further instructions.

Hi trubador,

Thank you for your ogarch add-in.
I am trying to perform a simulation based on ogarch for value at risk. Can I please have a simple piece of code about ogarch? I need to understand the ogarch code at first and modify it for simulation.

Thank you once again!

You can send me a private message explaining the reason of your interest in detail along with your e-mail address.