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Multivariate GARCH models

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  • Silvennoinen, Annastiina

    ()
    (School of Finance and Economics, University of Technology, Sydney)

  • Teräsvirta, Timo

    ()
    (CREATES, University of Aarhus and Department of Economic Statistics, 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.

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File URL: http://swopec.hhs.se/hastef/papers/hastef0669.pdf
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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 669.

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Length: 27 pages
Date of creation: 15 Jun 2007
Date of revision: 18 Jan 2008
Publication status: Published in Handbook of Financial Time Series, Andersen, Torben G., Davis, Richard A., Kreiss, Jens-Peter, Mikosch, Thomas (eds.), 2009, pages 201-229, Springer.
Handle: RePEc:hhs:hastef:0669

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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Related research

Keywords: autoregressive conditional heteroskedasticity; modelling volatility; nonlinear GARCH; nonparametric GARCH; semiparametric GARCH;

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References

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