European Business Schools Librarian's Group

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 669: Multivariate GARCH models

Annastiina Silvennoinen () and Timo Teräsvirta ()
Additional contact information
Annastiina Silvennoinen: School of Finance and Economics, University of Technology, Sydney, Postal: Box 123, Broadway NSW 2007, Australia
Timo Teräsvirta: CREATES, University of Aarhus and Department of Economic Statistics, Stockholm School of Economics, Postal: Universitetsparken, Building 1322, DK-8000 Aarhus C, Denmark

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

JEL-codes: C32; C52

27 pages, First version: June 15, 2007. Revised: January 18, 2008.

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

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