Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:appliesTo |
financial time series
asset returns portfolio risk |
| gptkbp:estimatedCost |
conditional covariance matrix
|
| gptkbp:generalizes |
univariate GARCH
|
| gptkbp:hasModel |
volatility
time-varying covariance |
| gptkbp:hasVariant |
BEKK model
DCC model VECH model |
| https://www.w3.org/2000/01/rdf-schema#label |
Multivariate GARCH
|
| gptkbp:introduced |
gptkb:Robert_Engle
|
| gptkbp:introducedIn |
1980s
|
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:GARCH_model risk management volatility clustering multivariate time series |
| gptkbp:usedIn |
finance
econometrics |
| gptkbp:bfsParent |
gptkb:GARCH_model
|
| gptkbp:bfsLayer |
7
|