BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

ergodicity and provide analogous results for the QMLE in the non-stationary GARCH(1,1) case. We investigate the limit theory of … the usual Wald statistic and provide with the asymptotic exactness and consistency of the relevant testing procedure based … on subsampling. In the context of the stationary GARCH(1,1) we construct a testing procedure for weak stationarity and …

univariate GARCH is not a special case of multivariate ARCH, specifically, the Full BEKK model, and demonstrate that Full BEKK …The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with … the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that …