Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31

39 Pages Posted: 6 Aug 2003

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Sébastien Laurent

University of Angers - Research Group in Quantitative Saving (GREQAM)

J. V. K. Rombouts

HEC Montreal; Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE); Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE); Center for Interuniversity Research and Analysis on Organization (CIRANO)

Date Written: April 18, 2003

Abstract

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.

Keywords: Volatility, Multivariate GARCH models, Financial econometrics

JEL Classification: C10, G10

Suggested Citation

Bauwens, Luc and Laurent, Sébastien and Rombouts, Jeroen, Multivariate GARCH Models: A Survey (April 18, 2003). CORE Discussion Paper No. 2003/31. Available at SSRN: https://ssrn.com/abstract=411062 or http://dx.doi.org/10.2139/ssrn.411062

Luc Bauwens

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Sébastien Laurent (Contact Author)

University of Angers - Research Group in Quantitative Saving (GREQAM) ( email )

Centre de la Vieille Charité
2, rue de la Charité
Marseille, 13002
France

Jeroen Rombouts

HEC Montreal ( email )

3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) ( email )

34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium

Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE) ( email )

Pavillon De Sève
Ste-Foy, Quebec G1K 7P4
Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO) ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

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