Constructing an information matrix for multivariate DCC-MGARCH(1,1) method

Constructing an information matrix for multivariate DCC-MGARCH(1,1) method

Bibliographic Details
Parent link:ARPN Journal of Engineering and Applied Sciences
Vol. 13, № 8.— 2018.— [P. 2838-2845]
Main Author: Maleeva E. A. Ekaterina Aleksandrovna
Corporate Author: Национальный исследовательский Томский политехнический университет Инженерная школа ядерных технологий Отделение экспериментальной физики
Other Authors: Kritski O. L. Oleg Leonidovich, Amini M. H. M. Mohd Hazim Mohamad
Summary:Title screen
The analytic form of Fisher Information Matrix (IM) for DCC-MGARCH (1, 1) was suggested. After that, it was applied for simplifying the general algorithm: the statistical hypothesis about constant correlation matrix usage was put forward and statistical verification was made. IM was employed for Russian share market: to do investigations the five equilibrium portfolios was compounded from four different shares in each case. Computations made showed that there are three types T1–T3 of trading days on the market and day type changing from T1 to T2 and vice versa is happening over the time moments T3. Moreover, the clustarisation effect of multivariate volatility that was investigated by scientists from all around the world in the univariate case was discovered and described.
Published: 2018
Subjects:
электронный ресурс
труды учёных ТПУ
fisher matrix
multivariate conditional dynamic correlation DCC-MGARCH method
матрица Фишера
многомерные методы
Online Access:http://umkeprints.umk.edu.my/id/eprint/10487
Format: Electronic Book Chapter
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=666919

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