Unit 3: Modelling Volatility and Correlations – Multivariate GARCH Models
Introduction to Modelling Volatility and Correlations
While univariate GARCH models focus on modeling the volatility of a single asset, multivariate G...
Multivariate GARCH (MGARCH) Models
Multivariate GARCH (MGARCH) models are extensions of univariate GARCH models designed to model t...
VECH, Diagonal VECH, and BEKK Models
Specific MGARCH Specifications The VECH, Diagonal VECH, and BEKK models are three essential types...
Estimation of a Multivariate Model
Estimating multivariate GARCH (MGARCH) models involves determining parameter values that best fit...