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??)

bashtage / arch