Abstract
When modeling multivariate economic and financial time series using vector autoregressive (VAR) models, squared residuals often exhibit significant serial correlation. For univariate time series, Chapter 7 indicates that the time series may be conditionally heteroskedastic, and GARCH models have been proved to be very successful at modeling the serial correlation in the second order moment of the underlying time series.
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Zivot, E., Wang, J. (2003). Multivariate GARCH Modeling. In: Modeling Financial Time Series with S-Plus®. Springer, New York, NY. https://doi.org/10.1007/978-0-387-21763-5_13
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DOI: https://doi.org/10.1007/978-0-387-21763-5_13
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-91624-8
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