Multivariate Volatility Models comparison
In this practical, we look at volatility models from the Multivariate perspective.
In particular, this allows us to estimate time-varying conditional correlation estimates.
The benefit of this, above ordinary rolling correlation structures, is that it is a noise-reduced comovement estimate. See practical for details on this:
For attribution, please cite this work as
Katzke (2024, Oct. 14). Financial Econometrics Course: Multivariate Volatility Modeling. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-17-practical-7/
BibTeX citation
@misc{katzke2024multivariate,
author = {Katzke, N.F.},
title = {Financial Econometrics Course: Multivariate Volatility Modeling},
url = {https://www.fmx.nfkatzke.com/posts/2020-08-17-practical-7/},
year = {2024}
}