The Oxford MFE Toolbox is the follow on to the UCSD_GARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines.
References in zbMATH (referenced in 1 article )
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- Poloni, Federico; Sbrana, Giacomo: Feasible generalized least squares estimation of multivariate GARCH(1, 1) models (2014)