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On the forecasting accuracy of multivariate GARCH models [PDF]
Journal of Applied Econometrics, 2011 SUMMARYThis paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting accuracy, with a particular focus on relatively large‐scale problems.
Laurent, Sébastien +2 more
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Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
core +7 more sources
International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models [PDF]
Scientific ReportsIndustry development indicators refer to a set of measures used to assess the performance and growth of industries. The main aim of this study was to assess the relationship between industry development indicators in Ethiopia using a multivariate GARCH ...
Getachew Abate Dagnew +2 more
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Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
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Multivariate GARCH Models: A Survey [PDF]
SSRN Electronic Journal, 2003 AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
BAUWENS, Luc +2 more
openaire +3 more sources
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics, 2021 This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed ...
Manabu Asai +3 more
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Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2016 The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased ...
Hossein Tavakolian +2 more
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