bivariaten GARCH (1,1), der bezüglich Anpassung und Vorhersage gut für Finanzmarktdaten geeignet ist. Um einen Eindruck über den … inferenzstatistische Methoden für Erwartungswerte und Varianzen. Es zeigt sich, dass Varianzprozeduren durch GARCH (1,1) stark beeinflusst …

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and … recently become the main area of interest of financial econometricians; hence, multivariate GARCH models have been introduced … in order to capture these co-movements. A large variety of multivariate GARCH models exists in the financial world, and …

series, namely, mixed normal and Markov-switching GARCH models. In the second part of the study, we also consider …