An Application of Multivariate GARCH Models for the Research Purposes of the Interactions of the Financial Markets

The article presents information about taxonometric methods of stock-markets classification and selected Multivariate GARCH models. The main emphasis is laid on those markets (countries), which influence others. So far, research has been geared towards three kinds of measurements: diagonal VECH models, diagonal BEKK models, and Constant Conditional Correlation. According to the results obtained, the DBEKK model is optimal for most data-sets.

MoreLess

Year of publication:	2009
Authors:	Chruscinski, Tomasz
Published in:	Equilibrium. - Uniwersytet Mikolaja Kopernika. - Vol. 1 (2).2009, p. 61-68
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	multivariate GARCH models \| financial markets

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009131302