PROGRAM FOR ESTIMATION MULTIVARIATE VOLATILITY PROCESSES BASED ON CONSTANT CONDITIONAL CORRELATION MODEL

  • Jelena Minović Fakultet za bankarstvo, osiguranje i finansije, Union Univerzitet u Beogradu
Keywords: EViews, Multivariate GARCH model, CCC model, volatility

Abstract

This article presents computer programs for estimation of multivariate (bivariate and trivariate) volatility processes, written in EViews. In order to estimate multivariate volatility processes for analysis of the Serbian financial market, we have to write new subprograms within Eviews software package. The programs are written for the Constant Conditional Correlation model (CCC) in bivariate and trivariate versions.
Published
2019-01-15
Issue
Vol 2009 No 30 (2009)
Section
Articles