In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The … well as several subsystems and the results discussed in detail. -- Multivariate GARCH ; Constant conditional correlation … ; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in …

ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model … checked numerically once the values of the parameters are given. -- conditional covariance matrix ; multivariate GARCH … ; multivariate volatility model ; random coefficient model ; volatility forecasting …