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On the multivariate EGARCH model

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  • Ten-Der Jane
  • Cherng Ding

Abstract

In this aticle, the extension of Nelson's (1991) univariate EGARCH model to the multivariate version has been reexamined and compared with the existing one given by Koutmos and Booth (1995). The magnitude and sign of standardized innovations have been constrained in Koutmos and Booth's multivariate EGARCH model, but not in the actual multivariate EGARCH model. The constraints imposed on Koutmos and Booth's EGARCH model may lead to inaccurate parameter estimates. Since the actual multivariate EGARCH model obtained is more general, and can produce more accurate inferential results, we suggest that the actual multivariate EGARCH model be used in future financial empirical studies.

Suggested Citation

  • Ten-Der Jane & Cherng Ding, 2009. "On the multivariate EGARCH model," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1757-1761.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:17:p:1757-1761
    DOI: 10.1080/13504850701604383
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    Cited by:

    1. Joanna Olbrys, 2013. "Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 33-50.
    2. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
    3. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    4. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.

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