0
$\begingroup$

I am implementing a AR(1)-GJR-GARCH(1,1) model to some asset returns, and I would need to have a covariance matrix but I struggle to see how I can compute one from the model I used? I know I can have a volatility estimate with a GARCH model, but what about covariance?

$\endgroup$
1
$\begingroup$

You have to use a multivariate Garch indeed. Search for mGARCH versions like GARCH-BEKK or VECH GARCH or DCC.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.