Benefit of GARCH Multivariate Models: Application to the Energy Market
Madjda Amrani, Halim Zeghdoudi
Asian Journal of Probability and Statistics · pp. 1–11 · Published 28 Jun 2021
10.9734/ajpas/2021/v13i430312Abstract
This article presents the advantages of multivariate GARCH models. Multivariate GARCH models are identified as the best and flexible models in econometrics. Also, the interest of these models is to be able to examine and analyze the various relations which the various series maintain between them. In order to be able to estimate several financial series to analyze their correlations and transfers of volatility. We present an application on the relationship between the existing volatility in the oil market and the energy market, which we found that the assembly performance of the BEKK-GARCH form is better than that of other models.
Cited by 1
A. O. Ovcharov, A. M. Terekhov · Lomonosov Economics Journal · 2024
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