paper
Multivariate Garch with dynamic beta
Matthias Raddant, Friedrich Wagner
Multivariate Garch with dynamic beta
Matthias Raddant, Friedrich Wagner
paper2016-09-22English
quantitative financearxiv
Description
We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses only six free GARCH parameters. One factor can be interpreted as the market component, the remaining factors are equal. This allow the analytical calculation of the inverse covariance matrix. The time-dependence of the factors enables the determination of dynam...
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