First of all, the author discusses the extension from univariate GARCH to multivariate GARCH model and the important role of the MGARCH model in the modern financial research.
笔者首先讨论了在金融时间序列的考察中从一元GARCH模型扩展到多元GARCH模型的必要性。分析了多元GARCH模型在金融建模中的重要作用。
First of all, the author discusses the extension from univariate GARCH to multivariate GARCH model and the important role of the MGARCH model in the modern financial research.
笔者首先讨论了在金融时间序列的考察中从一元GARCH模型扩展到多元GARCH模型的必要性。分析了多元GARCH模型在金融建模中的重要作用。
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