McAleer, Michael; Allen, Allen, D.E.; Amran, Amran, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2011
effects, we explore these issues using an Autoregressive Moving Average (ARMA) return equation. A univariate GARCH model is …. Finally, univariate GARCH, multivariate VARMA-GARCH, and multivariate VARMA-AGARCH models are used to test for constant …