About this document
Multivariate GARCH Analysis of Stock Returns by sheetal is a document available to read on EtoBox.
This document summarizes an analysis of correlations between monthly stock returns for 5 international markets from 1975 to 2016 using multivariate GARCH models in Eviews. Key findings include: 1) The returns series display fat tails and volatility clustering. Cross correlations are small and insignificant. 2) VECH and BEKK GARCH models estimate time-varying conditional correlations that increase substantially from the late 1990s onward, with average correlations exceeding 0.7 by 2016. 3) The VECH and
- Author
- sheetal
- Language
- EN