Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25
affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the … Diagonal BEKK (named after Baba, Engle, Kraft and Kroner) model is used to accommodate multivariate conditional … heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …