Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
Is there any research on whether the correlations among stocks rise when stock indices decline? Which model could account and test for that effect ? Maybe GARCH-BEKK, or some models using copulas?
I'm currently working with historical index data from Yahoo Finance and would like to plot the GARCH(1,1) volatility of these indexes. I'm working with the Datafeed and Finance Tollboxes in Matlab ...
If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?