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Multivariate GARCH models

Author

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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.

Suggested Citation

  • Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2008-06
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    File URL: ftp://ftp.econ.au.dk/creates/rp/08/rp08_06.pdf
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    More about this item

    Keywords

    Multivariate GARCH; Volatility;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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