An Introduction to Multivariate GARCH

[@esmaielabounoori4078]

Good explanation concerning the application of two variable CCC-GARCH model. Thank you.

[@YuYu-kp4ee]

Good video. Ideal for those knowing GARCH but not dynamic GARCH. The explaination is clear and understanable. Thanks

[@rasmuspedersen3195]

Glad it was helpful!

[@AliMna-h5p]

Thank you for this effort

[@user-yc7ir9qk1f]

Thank you sir. much love

[@pepe_the_frog-123]

This is a very good explanation and presentation. I have a question regarding diagnostics: What types of diagnostics should we use for the model? Should we check the standard diagnostics for the each univariate GARCH model(autocorrelation, (conditional)heteroskedasticity, model stability, residual distribution fit) and also what kinds of diagnostics for the MGARCH estimation? Thank you!

[@rutger9904]

Video really helped me! Hope you can do a part about DCC as well.

[@rasmuspedersen3195]

That's the plan!

[@jbetanco7733]

Good job. Would you create another video about DCC GARCH?

[@samuellawrence6610]

Hello Mr. Pedersen, thank you for this video, very helpful. But please can you assist me with the link video on how I can run a DECO GARCH model with OXMETRICS. Thank you

[@SakshiSharma-sd7ds]

please post video on DCC garch as well

[@rasmuspedersen3195]

That is the plan! /Rasmus

[@GGGames_93]

Excellent video. I wish my professor was more like you.

[@rasmuspedersen3195]

Thanks! 😃

[@belkhir789]

Thank you very much we wait DCC and BEKK

[@oyukaburnee2784]

which programm do you use in this video R or eviews or rats

[@rasmuspedersen3195]

OxMetrics. Specifically, we use the G@RCH package.

[@hubert1990s]

is 7:18, sigma(1,t)^2= ... Beta1*sigma(2,t-1)^2 a mistake, shouldn't be sigma(1,t)^2= ... Beta1*sigma(1,t-1)^2 ?

[@rasmuspedersen3195]

Yes! That is a typo. Thanks. /Rasmus

[@ww-tf1ju]

thank you so much for the vedio. By the way, what is the correlation here actually describing? the corr between return? or the corr between volatility>

[@rasmuspedersen3195]

It is the conditional correlation between the returns. The model states that this conditional correlation is constant over time.

[@ahmetihsankaya]

Thanks for this very illustrative video, could you also make one for vech/dvech models?

[@osamamostafa4611]

How I can use the gmm instead of mle to estimate garch

[@rasmuspedersen3195]

Indeed you can estimate the GARCH model parameters by GMM instead of MLE. The idea is simply to state relevant moment conditions. See e.g. swopec.hhs.se/hastef/papers/hastef0434.pdf

[@osamamostafa4611]

@@rasmuspedersen3195 If garch is univerit it OK and can you send me steps plz

[@andresfelipe7532]

Thanks bro, very nice video

[@rasmuspedersen3195]

Glad you liked it

[@williamzhao4371]

very good video, can you please make a BEKK GARCH model in r video?

[@ahmettasdemir1073]

Thanks, Its really helpful, I hope you can also post a video about BEKK or DCC

[@rasmuspedersen3195]

I will try my best

[@bjoernaagaard]

Fed video! Bruger i primært OxMetrics i økonometri på KU?

[@Yomama4536]

Ja :)

[@andyshi8627]

Great!