Multivariate GARCH Models

  • Annastiina SilvennoinenEmail author
  • Timo Teräsvirta


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.


Conditional Variance GARCH Model Conditional Correlation Conditional Covariance Dynamic Conditional Correlation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.School of Finance and EconomicsUniversity of Technology SydneyBroadway
  2. 2.CREATES Economics and Management,University of Aarhus, DK-8000 AarhusC, and Department of Economic Statistics, Stockholm School of EconomicsStockholm

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