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DCC-GARCH Model Analysis and Forecasting by metodologia investigacion is a document available to read on EtoBox.
This thesis examines the multivariate DCC-GARCH model for modeling volatility in time series data. DCC-GARCH allows the correlation between variables to change over time. The thesis implements DCC-GARCH assuming multivariate Gaussian, Student
- Author
- metodologia investigacion
- Language
- EN