Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56218
Authors: 
Silvennoinen, Annastiina
Teräsvirta, Timo
Year of Publication: 
2007
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 669
Abstract: 
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes semiparametric and nonparametric GARCH 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 with each other.
Subjects: 
autoregressive conditional heteroskedasticity
modelling volatility
nonlinear GARCH
nonparametric GARCH
semiparametric GARCH
JEL: 
C32
C52
Document Type: 
Working Paper

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