Abstract
This paper contains an introduction to the package ccgarch that is developed for use in the open source statistical environment R (R Development Core Team,2009). ccgarch can estimate certain types of multivariate GARCH models with explicit modelling of conditional correlations (the CC-GARCH models). The package is also capable of simulating data from major types of the CC-GARCH models with multivariate normal or Student’s t innovations. Small Monte Carlo simulations are conducted to see how the choice of initial values affects the parameter estimates in maximum likelihood estimation. The usefulness of the package is illustrated by fitting a trivariate Dynamic CC-GARCH model to daily stock returns series.