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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 669:
Multivariate GARCH models

Annastiina Silvennoinen () 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 other.

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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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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