[Quantlib-dev] DCC-GARCH model Quantlib

[Tommaso F. <tom...@gm...>]

Dear all,
I'm studying the predictive models of multivariate variance, in particular
the Dynamic conditional correlation model (DCC).

I am aware of the fact that Quantlib provides the univariate Garch model,
but I would like to know if the library implements also the multivariate
garch model (for example, the DCC one). I did not find any reference in
literature about this.

Can someone help me?
Thanks to all