Virbickaite, Audrone; Ausín, Concepción; Galeano, Pedro - Departamento de Estadistica, Universidad Carlos III de … - 2013
We use an asymmetric dynamic conditional correlation (ADCC) GJR-GARCH model to estimate the time-varying volatilities of financial returns. The ADCC-GJR-GARCH model takes into consideration the asymmetries in individual assets volatilities, as well as in the correlations. The errors are modeled...