GARCH model families
In this session, we expand on the first by constructing multi-variate garch models.
The practicals will elaborate more on some of the concepts outlined in this session
For attribution, please cite this work as
Katzke (2025, Oct. 3). Financial Econometrics Course: Multivariate Volatility Modeling. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-15-theory5/
BibTeX citation
@misc{katzke2025multivariate,
author = {Katzke, N.F.},
title = {Financial Econometrics Course: Multivariate Volatility Modeling},
url = {https://www.fmx.nfkatzke.com/posts/2020-08-15-theory5/},
year = {2025}
}