Department of Economics and Business Economics

Multivariate GARCH models

Research output: Working paperResearch

    Annastiina Silvennoinen, University of Technology Sydney, Australia
  • Timo Teräsvirta
  • School of Economics and Management
This article contains a review of multivariate GARCH models. Most common GARCH
models are presented and their properties considered. This also includes nonparametric
and semiparametric models. Existing specification and misspecification tests are discussed.
Finally, there is an empirical example in which several multivariate GARCH models are
fitted to the same data set and the results compared.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages25
Publication statusPublished - 2008

    Research areas

  • Multivariate GARCH; Volatility

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ID: 10183257