The Multivariate Garch

Views Updated: Dec 15, 2025

Key Facts

Abbreviation
MG
Pronunciation
/ðə ˌmʌltiˈveəriət ɡɑːrtʃ/
Category
Miscellaneous
Related Field
Unclassified

Examples in Context

  1. Optimal hedge ratios for separate and simultaneous hedging strategies are estimated using the multivariate GARCH model.
  2. In many of the multivariate GARCH model, multivariate DCC-GARCH model has a strong advantage.
  3. These models have the flexibility of univariate GARCH but not the complexity of conventional multivariate GARCH, and can be estimated in two steps by parameterization of conditional correlations.
  4. The Nonlinear Common Persistence of Multivariate GARCH Model
  5. Considering the shortage of traditional estimation methods for multivariate GARCH based on gradient information, we give out the likelihood estimating method based on genetic algorithm.

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