Inference for Some Multivariate Arch and GARCH Models
Journal of Forecasting, Vol. 22, pp. 427-446, 2003
Posted: 26 Oct 2004
Multivariate time varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical techniques are used for the estimation of the parameters of the models and model comparisons are addressed via predictive distributions. We provide implementation details and illustrations using daily exchange rates of the Athens exchange market.
Keywords: Autoregressive conditional heteroscedasticity, Markov chain Monte Carlo, Maximum likelihood, Model comparison, Predictive distribution
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