An application of multivariate GARCH models in research for the interaction of world financial markets | Zendy

Tomasz Chruściński | Zendy

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

Author(s) -

Tomasz Chruściński

Publication year - 2009

Publication title -

equilibrium quarterly journal of economics and economic policy

Language(s) - English

Resource type - Journals

eISSN - 2353-3293

pISSN - 1689-765X

DOI - 10.12775/equil.2009.006

Subject(s) - multivariate statistics , autoregressive conditional heteroskedasticity , diagonal , econometrics , multivariate analysis , financial market , stock (firearms) , economics , stock market , financial economics , computer science , mathematics , statistics , finance , geography , volatility (finance) , context (archaeology) , geometry , archaeology

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.

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