Multivariate GARCH models: Software choice and estimation issues

Journal of Applied Econometrics

Volumn 18, Issue 6, 2003, Pages 725-734

  Brooks, Chris ^a   Burke, Simon P ^a   Persand, Gita ^b  

^a UNIVERSITY OF READING   (United Kingdom)

^b UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348157053     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.717     Document Type: Review

References (10)

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2. Bollerslev T. 1990. Modelling the coherence in short-run nominal exchange rates: a multivariate generalised ARCH model. Review of Economics and Statistics 72: 498-505.
3. Bollerslev T, Engle RF, Wooldridge JM. 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy 96: 116-131.
4. Brooks C. 1997. GARCH modelling in finance: a review of the software options. Economic Journal 107(443): 1271-1276.
5. Brooks C, Burke SP, Persand G. 2001. Benchmarks and the accuracy of GARCH model estimation. International Journal of Forecasting 17: 45-56.
6. Brooks C, Henry OT, Persand G. 2002. The effect of asymmetries on optimal hedge ratios. Journal of Business 75(2): 333-352.
7. Engle RF, Kroner K. 1995. Multivariate simultaneous generalised ARCH. Econometric Theory. 11: 122-150.
8. Fiorentini G, Calzolari G, Panattoni L. 1996. Analytic derivatives and the computation of GARCH estimates. Journal of Applied Econometrics 11: 399-417.
9. Kroner KF, Ng VK. 1998. Modelling asymmetric co-movements of asset returns. Review of Financial Studies 11: 817-844.
10. McCullough BD, Renfro CG. 1999. Benchmarks and software standards: a case study of GARCH procedures. Journal of Economic and Social Measurement 25: 59-71.