Chang, Chia-Lin; Khamkaew, Thanchanok; McAleer, Michael; … - Department of Economics and Finance, College of … - 2010
the VARMA-GARCH model and the VARMA-AGARCH model suggest the presence of volatility spillovers and asymmetric effects of … positive and negative return shocks on conditional volatility. Finally, the DCC model suggests that the conditional …