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Inference for some multivariate ARCH and GARCH models

✍ Scribed by I. D. Vrontos; P. Dellaportas; D. N. Politis

Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
204 KB
Volume
22
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

Multivariate time‐varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical techniques are used for the estimation of the parameters of the models and model comparisons are addressed via predictive distributions. We provide implementation details and illustrations using daily exchange rates of the Athens exchange market. Copyright © 2003 John Wiley & Sons, Ltd.

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