Matlab code for VECM-Garch

Does exist a matlab code which estimates a VECM - Garch, that is a multivariate cointegration model with Garch effect?

Thanks

Answer 1

[Shashank Prasanna]

The garch framework in the Econometrics Toolbox currently does not support multivariate garch models. However there is support for VARMAX models as well as error correction model here:

http://www.mathworks.com/help/econ/identify-cointegration.html

Also, take a look this:

http://www.spatial-econometrics.com/