SSE/EFI Working Paper Series in Economics and Finance
Multivariate GARCH models
() and Timo Teräsvirta
Abstract: 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
Keywords: autoregressive conditional heteroskedasticity; modelling volatility; nonlinear GARCH; nonparametric GARCH; semiparametric GARCH; (follow links to similar papers)
JEL-Codes: C32; C52; (follow links to similar papers)
27 pages, June 15, 2007, Revised January 18, 2008
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
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Full text versions of the paper:
- This paper is published as:
Silvennoinen, Annastiina and Timo Teräsvirta, (2009), 'Multivariate GARCH models' in Andersen, Torben G., Richard A. Davis, Jens-Peter Kreiss and Thomas Mikosch (eds.) Handbook of Financial Time Series, pages 201-229, Springer, ISBN 978-3-540-71296-1.
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