Jelena Z. Minovic (Belgrade Banking Academy, Union University, Serbia)
Abstract
This article presents theoretical and empirical methodology for estimation and modeling of multivariate volatility processes. It surveys the model specifications and the estimation methods. Multivariate GARCH models covered are VEC (initially due to Bollerslev, Engle and Wooldridge, 1988), diagonal VEC (DVEC), BEKK (named after Baba, Engle, Kraft and Kroner, 1995), Constant Conditional Correlation Model (CCC, Bollerslev, 1990), Dynamic Conditional Correlation Model (DCC models of Tse and Tsui, 2002, and Engle, 2002). I illustrate approach by applying it to daily data from the Belgrade stock exchange, I examine two pairs of daily log returns for stocks and index, report the results obtained, and compare them with the restricted version of BEKK, DVEC and CCC representations. The methods for estimation parameters used are maximum log-likehood (in BEKK and DVEC models) and twostep approach (in CCC model).
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Volume (Year): 05(534) (2009) Issue (Month): 05(534) (May) Pages: 21-44 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF