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Benchmarks and the accuracy of GARCH model estimation

✍ Scribed by Chris Brooks; Simon P. Burke; Gita Persand

Book ID
114174633
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
81 KB
Volume
17
Category
Article
ISSN
0169-2070

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The development of multivariate generalized autoregressive conditionally heteroscedastic (MGARCH) models from the original univariate specifications represented a major step forward in the modelling of time series. MGARCH models permit time-varying conditional covariances as well as variances, and t