I'm looking for some literature on estimating the covariance matrix of a portfolio of equities via GARCH techniques. This is basically a learning exercise.I've done some google searches but I'm getting materials that are too advanced. What's a good source for this kind of application. I'll be happy if in the end I can understand the algorithm and have some idea of my standard errors and t-stats. Thanks in advance!

a useful survey on MV-GARCH :http://www.core.ucl.ac.be/econometrics/ ... nal.pdfand the great toolbox of kevin sheppard for matlab : http://www.kevinsheppard.com/research/u ... garch.aspx

checkhttp://www.wilmott.co.uk/messageview.cfm?catid ... 20836where it was previously discussed.

Thanks for the links, I got some reading to do. In the mean time, can any of you please criticize the following approach to estimating a covar matrix by GARCH(1,1).1. Estimate GARCH(1,1) models for the diagonal elements. That is, sigmahat(i,i)(t) = GARCH(1,1|historical data )2. With these estimates for sigmahat(i,i)(t), we could estimate the off-diagonal elements as sigmahat(i,j) = covar( sigmahat(i,i)(t) , sigmahat(j,j)(t) )3. We can then get the full covar matrix for any tk by plugging in for all t j< tkThis is seems too easy. Get the red pen out, make sure it has lots of ink! Thanks.