Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect). We propose a new multivariate asymmetric conditional heteroskedasticity model with a dynam...
| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Government of the Russian Federation, Financial University
2022-04-01
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| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/1589 |