Open AccessBenefit of GARCH Multivariate Models: Application to the Energy Market
Author(s) -
M. Amrani,
Halim Zeghdoudi
Publication year - 2021
Publication title -
asian journal of probability and statistics
Language(s) - English
Resource type - Journals
ISSN - 2582-0230
DOI - 10.9734/ajpas/2021/v13i430312
Subject(s) - autoregressive conditional heteroskedasticity , econometrics , multivariate statistics , volatility (finance) , economics , mathematics , statistics
This article presents the advantages of multivariate GARCH models. Multivariate GARCH models are identified as the best and flexible models in econometrics. Also, the interest of these models is to be able to examine and analyze the various relations which the various series maintain between them. In order to be able to estimate several financial series to analyze their correlations and transfers of volatility. We present an application on the relationship between the existing volatility in the oil market and the energy market, which we found that the assembly performance of the BEKK-GARCH form is better than that of other models.