A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. Whereas each conditional-variance term is assum...

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Bibliographic Details
Main Authors: TSE, Yiu Kuen, TSUI, Albert K.C.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
Subjects:
BEKK model
Constant correlation
Maximum likelihood estimate
Monte Carlo method
Multivariate GARCH model
Varying correlation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/348
https://ink.library.smu.edu.sg/context/soe_research/article/1347/viewcontent/auto_convert.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/348
https://ink.library.smu.edu.sg/context/soe_research/article/1347/viewcontent/auto_convert.pdf

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