Abstract
When modeling multivariate economic and financial time series using vector autoregressive (VAR) models, squared residuals often exhibit significant serial correlation. For univariate time series, Chapter 7 indicates that the time series may be conditionally heteroskedastic, and GARCH models have been proved to be very successful at modeling the serial correlation in the second order moment of the underlying time series.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
13.9 References
Alexander, C. O. (1998). āVolatility and Correlation: Methods, Models and Applications,ā in C. O. Alexander (ed.) Risk Management and Analysis: Measuring and Modeling Financial Risk. John Wiley & Sons, New York.
Andreou, E., and Ghysels, E. (2002). āRolling Volatility Estimators: Some new Theoretical, Simulation and Empirical Results,ā Journal of Business and Economic Statistics, 20(3), 363ā376.
Bollerslev, T. (1986). āGeneralized Autoregressive Conditional Heteroskedasticity,ā Journal of Econometrics, 31, 307ā327.
Bollerslev, T. (1990). āModeling the Coherence in Short-run Nominal Exchange Rates: a Multivariate Generalized ARCH Model,ā Review of Economics and Statistics, 72, 498ā505.
Bollerslev, T., Engle, R. F., and Nelson, D. B. (1994). āARCH Models,ā in R. F. Engle and D. L. McFadden (eds.), Handbook of Econometrics, Vol. 4. Elsevier Science B. V., Amsterdam.
Bollerslev, T., Engle, R. F., and Wooldridge, J. M. (1988). āA Capital-Asset Pricing Model with Time-Varying Covariances,ā Journal of Political Economy, 96, 116ā131.
Bougerol, P., and Picard, N. (1992). āStationarity of GARCH Processes and of Some Nonnegative Time Series,ā Journal of Econometrics, 52, 115ā127.
Ding, Z. (1994). āTime Series Analysis of Speculative Returns,ā Ph.D. Thesis, Department of Economics, University of California, San Diego.
Engle, R. F., and Bollerslev, T. (1986). āModeling the Persistence of Conditional Variances,ā Econometric Reviews, 5, 1ā50.
Engle, R. F., and Kroner, K. F. (1995). āMultivariate Simultaneous Generalized ARCH,ā Econometric Theory, 11, 122ā150.
Fleming, J., Kirby, C., and Ostdiek, B. (2001). āThe Economic Value of Volatility Timing,ā Journal of Finance, 56, 329ā352.
Foster, D. P., and Nelson, D. B. (1996). āContinuous Record Asymptotics for Rolling Sample Variance Estimators,ā Econometrica, 64, 139ā174.
Hosking, J. R. M. (1980). āThe Multivariate Portmanteau Statistic,ā Journal of the American Statistical Association, 75, 602ā608.
Nelson, D. B. (1990). āStationarity and Persistence in the GARCH (1,1) Model,ā Econometric Theory, 6, 318ā334.
Rights and permissions
Copyright information
Ā© 2006 Springer Science+Business Media, Inc.
About this chapter
Cite this chapter
(2006). Multivariate GARCH Modeling. In: Modeling Financial Time Series with S-PLUSĀ®. Springer, New York, NY. https://doi.org/10.1007/978-0-387-32348-0_13
Download citation
DOI: https://doi.org/10.1007/978-0-387-32348-0_13
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-27965-7
Online ISBN: 978-0-387-32348-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)