This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances correlations of daily returns based on measures realized built from intraday data. Formulas multi-step forecasts are provided. Asymmetric versions developed. An empirical study shows that in terms HEAVY outperform BEKK-HEAVY model covariances BEKK, DCC, DECO multivariate GARCH exclusively

The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. Estimations and forecasts of the covariance matrix are made for the EUR/SEK and USD/SEK, whereby the forecasts are used in a pract...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...

Motivated by recent developments in light of the sub-prime and subsequent financial crisis we fit two different vector autoregressive generalized conditional heteroscedastic (VAR-GARCH) models to three financial indices with the aim of understanding the development of dependency structures between credit spreads and other macroeconomic variables. Our analysis includes daily quotes from June 200...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...

This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, ...

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate GARCH (or BEKK), and constr...