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Multivariate GARCH models for large-scale applications: a survey. (English) Zbl 1439.62187
Vinod, Hrishikesh D. (ed.) et al., Conceptual econometrics using R. Amsterdam: Elsevier/North Holland. Handb. Stat. 41, 193-242 (2019).
Summary: This chapter provides a survey of various multivariate GARCH specifications that model the temporal dependence in the second moment of multivariate return series processes. The survey is focused on feasible multivariate GARCH models for large-scale applications, as well as on recent contributions in outlier-robust MGARCH analysis and the use of high-frequency returns or the score for covariance modeling. We discuss their likelihood-based estimation and application to forecasting and simulation with software implementations in the R-programming language.
For the entire collection see [Zbl 1430.62013].
MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H12 Estimation in multivariate analysis
62M20 Inference from stochastic processes and prediction
62P20 Applications of statistics to economics
Software:
ccgarch; GAS; MFE toolbox; R
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