During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially Weighted Moving Average, and covariance shrinkin...

The existing parametric multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model could hardly capture the nonlinearity and the non-normality, which are widely observed in …nancial data. We propose semiparametric conditional covariance (SCC) model to capture the information hidden in the standardized residuals and missed by the parametric MGARCH models. Our two-stage...

â â â  â â â â â  the main purpose of present study is to analyze the relationship between stock and exchange markets in two asian countries, iran and south korea. a monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. the data is collected from the central bank of each country and wdi. the calculated stock return and real exchange rate change are u...

We propose a method for defining and measuring the spatial contagion between two financial markets. Next we investigate which from the large family of multivariate GARCH models is the best tool for modeling spatial contagion.

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncerta...

In this paper we propose a new multivariate GARCH model with timevarying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By impos...