Allena, David E.; Amrama, Ron; McAleer, Michael - Department of Economics and Finance, College of … - 2011
effects, we explore these issues using an Autoregressive Moving Average (ARMA) return equation. A univariate GARCH model is …. Finally, univariate GARCH, multivariate VARMA-GARCH, and multivariate VARMA-AGARCH models are used to test for constant …