| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069899 | Finance Research Letters | 2008 | 8 Pages |
Abstract
In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev [1990. Review of Economics and Statistics 72, 498-505] and its extensions. Under the new conditions, it is possible to introduce negative volatility spillovers in the model. An empirical example illustrates usefulness of having such conditions in practice.
Related Topics
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Authors
Tomoaki Nakatani, Timo Teräsvirta,