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What is Multivariate GARCH Analysis of Stock Returns about?

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