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Multivariate GARCH models

  • 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)

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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Paper provided by Stockholm School of Economics in its series SSE/EFI 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
Contact details of provider: Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Fax: +46-(0)8-31 01 57
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