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

• 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
• Institution: Singapore Management University

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...