Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application
The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. Estimations and forecasts of the...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Nationalekonomiska institutionen
2013
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710 |