Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets
Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. Multivariate GARCH models were developed for th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-06-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/32035/354502?publisher=http-www-cag-edu-tr-ilhan-ozturk |