class of GARCH-in-Mean models. In this set-up our procedure provides a formal framework for testing economic theories that …

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and …

and the new member countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to …

correlation model; and (iii) shows that the appropriate ARCH or GARCH model for DCC is based on the standardized shocks rather …

GARCH type models, with one disturbance to the return of a financial asset, have not been considered as a framework for …

Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), VARMA-AGARCH model of McAleer, Hoti and Chan (2008), and DCC … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the … the conditional variances suggests that VARMA-AGARCH is superior to VARMA-GARCH and CCC …

, Japan and Singapore. The analysis is conducted using several alternative multivariate GARCH models. The empirical results … range. The results from the VARMA-GARCH model of Ling and McAleer (2003) and the VARMA-AGARCH model of McAleer et al. (2009 …

relatively time varying correlations with the other indexes and we find a strong GARCH effect in all of the examined series …