<p>After a quick search I found this paper: <em>High-dimensional GARCH process segmentation
with an application to Value-at-Risk</em> by Haeran Cho and Karolos K. Korkas. Link to their paper <a href="https://arxiv.org/pdf/1706.01155.pdf" rel="nofollow noreferrer">here</a>.</p>

<p>In their abstract they reference their package, <code>segMGarch</code>, which is available on CRAN (Documentation can be found <a href="https://cran.r-project.org/web/packages/segMGarch/segMGarch.pdf" rel="nofollow noreferrer">here</a>).</p>

<p>I found this with very little effort. Consider looking into CRAN packages, other questions on StackOverflow (I found <a href="https://stackoverflow.com/questions/9969962/simulation-of-garch-in-r?rq=1">this one</a> in the related posts), or simply Googling it.</p>
Is there an R package for simulating a multivariate GARCH process with jump diffusion?
<p>I'm looking for an R package and coding to simulate a multivariate Garch process with jump diffusion. Is there a package or R code I can replicate and modify?</p>