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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 16: Multivariate GARCH Models

Introduction

Multivariate GARCH Models

The CCC Parameterization

The DCC Parameterization

The BEKK Parameterization

A Bivariate Example Using Two Quotations for Danish Stocks

Using the CCC Parameterization

Using the DCC Parameterization

Using the BEKK Parameterization

Using the CCC Bivariate Combination of Univariate TGARCH Models

Conclusion

Introduction

In this chapter you will see how the VARMAX procedure is applied to estimate the parameters of GARCH models for multivariate time series. The theoretical specification of the model follows the outline for the univariate case in Chapter 15. The extension from univariate to multivariate time series is presented in the first section. Procedure syntax for estimation ...

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