Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
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 …