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Engle, R.F. and Kroner, K.F. (1995) Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11, 122-150.
https://doi.org/10.1017/S0266466600009063

has been cited by the following article:

  • TITLE: Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach

    AUTHORS: Hira Aftab, Rabiul Alam Beg, Sizhong Sun, Zhangyue Zhou

    KEYWORDS: Asymmetric News, Diversification, Spillovers, Multivariate-t, Chi-Square Test

    JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.1, January 29, 2019

    ABSTRACT: This paper proposes a multivariate VAR-BEKK-GJR-GARCH volatility model to assess the dynamic interdependence among stock, bond and money market returns and volatility of returns. The proposed model allows for market interaction which provides useful information for pricing securities, measuring value-at-risk (VaR), and asset allocation and diversification, assisting financial regulators for policy implementation. The model is estimated by the maximum likelihood method with Student-t innovation density. The asymptotic chi-square tests for volatility spillovers and leverage effects are constructed and provide predictions of volatility and time-varying correlations of returns. Application of the proposed model to the Australia’s domestic stock, bond, and money markets reveals that the domestic financial markets are interdependent and volatility is predictable. In general, volatility spillovers from stock market to bond and to money markets due to common news. The empirical findings of this paper quantify the association among the security markets which can be utilized for improving agents’ decision-making strategies for risk management, portfolio selection and diversification.