IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v05(534)y2009i05(534)p21-44.html
   My bibliography  Save this article

Modeling Multivariate Volatility Processes: Theory and Evidence

Author

Listed:
  • 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).

Suggested Citation

  • Jelena Z. Minovic, 2009. "Modeling Multivariate Volatility Processes: Theory and Evidence," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 5(05(534)), pages 21-44, May.
    • Handle: RePEc:agr:journl:v:05(534):y:2009:i:05(534):p:21-44
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/385.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=385&rid=49
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:05(534):y:2009:i:05(534):p:21-44. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marin Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.