Multivariate GARCH Models
University of Technology, Sydney (UTS)
affiliation not provided to SSRN
January 28, 2008
CREATES Research Paper 2008-6
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example in which several multivariate GARCH models are fitted to the same data set and the results compared.
Number of Pages in PDF File: 27
Keywords: Multivariate GARCH, Volatility
JEL Classification: C32, C51, C52working papers series
Date posted: June 25, 2008
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