Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models
AbstractThe 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).
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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 00/14.
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Autocovariance Generating Function; ARMA representations; Diagonal Multivariate GARCH.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-04-17 (All new papers)
- NEP-ECM-2000-04-17 (Econometrics)
- NEP-ETS-2000-04-17 (Econometric Time Series)
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