AN APPLICATION OF MULTIVARIATE GARCH MODELS FOR THE RESEARCH PURPOSES OF THE INTERACTIONS OF THE FINANCIAL MARKETS

Tomasz Chruscinski
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Tomasz Chruscinski: Nicolaus Copernicus University

Equilibrium. Quarterly Journal of Economics and Economic Policy, 2009, vol. 2, issue 1, 61-68

Abstract: The article presents information about taxonometric methods of stock-markets classification and selected Multivariate GARCH models. The main emphasis is laid on those markets (countries), which influence others. So far, research has been geared towards three kinds of measurements: diagonal VECH models, diagonal BEKK models, and Constant Conditional Correlation. According to the results obtained, the DBEKK model is optimal for most data-sets.

Keywords: multivariate GARCH models; financial markets (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:pes:ierequ:v:2:y:2009:i:1:p:61-68

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