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Multivariate GARCH models

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  • Annastiina Silvennoinen
  • Timo Teräsvirta

    ()
    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

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.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2008-06.

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Length: 25
Date of creation: 28 Jan 2008
Date of revision:
Handle: RePEc:aah:create:2008-06

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Web page: http://www.econ.au.dk/afn/

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Keywords: Multivariate GARCH; Volatility;

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