Open AccessAn application of multivariate GARCH models in research for the interaction of world financial markets
Author(s) -
Tomasz Chruściński
Publication year - 2009
Publication title -
equilibrium
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.