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Thanks, the code above is for univariate only, is there anyway I can add for multivariate? so I have 10 assets, meaning really large var-covar matrix, any idea to reduce the code?

Also, when I open "as system" my 14 assets and run through, say diagonal VEC garch, I'm ignoring volatility spill over effect but it's still a form of multivariate garch right?

Hi guys, I would like to ask this, so I have the following code for univariate VAR, with GARCH. I'm trying to edit it calculate VAR for a portfolio (consist of 10 assets). I can assign weights and just do a univariate Garch for the portfolio, but I think it's better to perform multivariate. I hope y...