Multivariate GARCH with dynamic beta
نویسندگان
چکیده
We investigate a solution for the problems related to application of multivariate GARCH models markets with large number stocks by restricting form conditional covariance matrix. The model is factor and uses only six free parameters. One can be interpreted as market component, remaining factors are equal. This allow analytical calculation inverse time-dependence enables determination dynamical beta coefficients. compare results from our other daily returns S\&P500 find that they competitive. As applications we use values coefficients confirm transition in 2006. Furthermore discuss relationship leverage effect.
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ژورنال
عنوان ژورنال: European Journal of Finance
سال: 2021
ISSN: ['1351-847X', '1466-4364']
DOI: https://doi.org/10.1080/1351847x.2021.1882523