Published On Apr 5, 2020
Introduction to multivariate GARCH. Specifically, the constant conditional correlation (CCC) GARCH.
Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen.
Also, a short illustration of dynamic portfolio choice. Implementation in OxMetrics 8.00 using the G@RCH package.
NOTE a typo @7:18:
sigma(1,t)^2= ... Beta1*sigma(2,t-1)^2 should be sigma(1,t)^2= ... Beta1*sigma(1,t-1)^2
Video for the Econometrics II course at University of Copenhagen (Department of Economics).
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