Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models
Menelaos Karanasos ()
Discussion Papers from Department of Economics, University of York
The purpose of this paper is to examine the covariance structure of multivariate GARCH (M-GARCH) models that have been introduced in the literature the last fifteen years, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of the constant conditional correlation M-GARCH model introduced by Bollerslev (1990) and the diagonal M-GARCH model introduced by Bollerslev, Engle and Wooldridge (1988).
Keywords: Autocovariance Generating Function; ARMA representations; Diagonal Multivariate GARCH. (search for similar items in EconPapers)
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