Multivariate GARCH models

Annastiina Silvennoinen and Timo Teräsvirta

No 669, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes semiparametric and nonparametric GARCH 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 with each other.

Keywords: autoregressive conditional heteroskedasticity; modelling volatility; nonlinear GARCH; nonparametric GARCH; semiparametric GARCH (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2007-06-15, Revised 2008-01-18
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: This article has been written for Handbook of Financial Time Series, edited by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch
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Citations: View citations in EconPapers (97)

Published in Handbook of Financial Time Series, Andersen, Torben G., Davis, Richard A., Kreiss, Jens-Peter, Mikosch, Thomas (eds.), 2009, pages 201-229, Springer.

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Related works:
Working Paper: Multivariate GARCH models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0669

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