Multivariate GARCH Models

Annastiina Silvennoinen () and Timo Teräsvirta
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Annastiina Silvennoinen: University of Technology Sydney, School of Finance and Economics

Chapter 9 in Handbook of Financial Time Series, 2009, pp 201-229 from Springer

Abstract: Abstract This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example in which several multivariate GARCH models are fitted to the same data set and the results compared.

Keywords: Conditional Variance; GARCH Model; Conditional Correlation; Conditional Covariance; Dynamic Conditional Correlation (search for similar items in EconPapers)
Date: 2009
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Working Paper: Multivariate GARCH models (2008)
Working Paper: Multivariate GARCH models (2008)
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DOI: 10.1007/978-3-540-71297-8_9

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