Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix

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...

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Bibliographic Details
Main Authors: Ju. S. Trifonov, B. S. Potanin
Format: Article
Language:Russian
Published: Government of the Russian Federation, Financial University 2022-04-01
Series:Финансы: теория и практика
Subjects:
financial markets
financial assets
volatility modelling
egarch
dcc-garch
leverage effect
conditional correlation
multivariate garch models
joint volatility dynamics
Online Access:https://financetp.fa.ru/jour/article/view/1589

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