Harris, Richard D. F.; Stoja, Evarist; Tucker, Jon - In: Journal of Futures Markets 27 (2007) 6, pp. 575-598
The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S‐GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....