Optimal hedge ratios for separate and simultaneous hedging strategies are estimated using the multivariate GARCH model. 运用多元GARCH模型估计分开对冲策略和同时对冲策略下的最优套期保值比率。
In many of the multivariate GARCH model, multivariate DCC-GARCH model has a strong advantage. 在众多的多元GARCH族模型中,多元DCC-GARCH模型具有较强的优势。
These models have the flexibility of univariate GARCH but not the complexity of conventional multivariate GARCH, and can be estimated in two steps by parameterization of conditional correlations. 该模型在具有单变量GARCH模型灵活性的同时又避免了传统的多变量GARCH(MG)模型的复杂性,可以采用简单的两步估计法直接将条件相关系数参数化来进行估计。
The Nonlinear Common Persistence of Multivariate GARCH Model 向量GARCH模型的非线性协同持续
Considering the shortage of traditional estimation methods for multivariate GARCH based on gradient information, we give out the likelihood estimating method based on genetic algorithm. 针对传统基于梯度信息的多元GARCH模型估计方法的不足,提出了基于遗传算法的似然估计方法,并利用中国股市数据进行了实证研究。