A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model

We construct a parsimonious test of constancy the correlation matrix in multivariate conditional GARCH model, where equations are time-varying. The alternative to is that correlations change deterministically as function time. covariance matrix, not so may be viewed general stability constant matrix. size finite samples studied by simulation. An empirical example involving daily returns 26 stocks included Dow Jones stock index given.