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Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models

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  • Menelaos Karanasos

Abstract

The purpose of this paper is to examine the covariance structure of multivariate GARCH (M-GARCH) models that have been introduced in the literature the last fifteen years, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of the constant conditional correlation M-GARCH model introduced by Bollerslev (1990) and the diagonal M-GARCH model introduced by Bollerslev, Engle and Wooldridge (1988).

Suggested Citation

  • Menelaos Karanasos, "undated". "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.
    • Handle: RePEc:yor:yorken:00/14
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    File URL: https://www.york.ac.uk/media/economics/documents/discussionpapers/2000/0014.pdf
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    References listed on IDEAS

    as
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    Keywords

    Autocovariance Generating Function; ARMA representations; Diagonal Multivariate GARCH.;
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