scholarly journals Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

2000 ◽  
Author(s):  
Robert F. Engle
Keyword(s):  
Multivariate Garch ◽  
Garch Models ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Simple Class ◽  
Multivariate Garch Models

scholarly journals An application of multivariate GARCH models in research for the interaction of world financial markets

Equilibrium ◽  
2009 ◽  
Vol 2 (1) ◽  
pp. 61-68
Author(s):  
Tomasz Chruściński
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Data Sets ◽  
Conditional Correlation ◽  
Main Emphasis ◽  
Multivariate Garch Models ◽  
Diagonal Vech

This article presents information about taxonometric methods in classification stock-markets and selected Multivariate GARCH models. The main emphasis is placed on which market (country) influences others. Research has been geared towards three kinds of measurement: diagonal VECH models, diagonal BEKK models and Constant Conditional Correlation. The results obtained for the DBEKK model is optimal for most data-sets.

scholarly journals Um Estudo Empírico da Dinâmica da Correlação do Retorno das Ações do Brasil

2019 ◽  
Vol 16 (4) ◽  
pp. 635 ◽  
Author(s):  
Hudson Chaves Costa ◽  
Sabino Da Silva Porto Junior ◽  
Gabrielito Menezes
Keyword(s):  
Structural Breaks ◽  
Statistical Tests ◽  
Multivariate Garch ◽  
Garch Models ◽  
Conditional Correlation ◽  
Temporal Series ◽  
Largest Eigenvalues ◽  
Multivariate Garch Models ◽  
Long Term Trend

This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the temporal series of arrays of conditional correlation of returns of stocks. With the temporal series of the largest eigenvalues of matrices of correlation estimated conditional, we apply statistical tests (unit root, structural breaks and trend) to verify the existence of stochastic trend or deterministic to the intensity of the correlation between the returns of the shares represented by eigenvalues. Our results confirm that both in times of crises at national and international turbulence, there is greater correlation between the actions. However, we did not find any long-term trend in time series of the largest eigenvalues of matrices of correlation conditional.

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