Digital Special Collection Portal

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


Citation

Maleeva E. A and Kritski O. L and Mohd Hazim Mohamad Amini (2018) Constructing an information matrix for multivariate DCC-MGARCH (1, 1) method. ARPN Journal of Engineering and Applied Sciences, 13 (8). pp. 2838-2845. ISSN 1819-6608

Abstract

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.

Download File / URL

[thumbnail of jeas_0418_7003.pdf] Text
jeas_0418_7003.pdf

Download (260kB)

Additional Metadata

Item Type: Indexed Article
Collection Type: Institution
Date: 2018
Journal or Publication Title: ARPN Journal of Engineering and Applied Sciences
ISSN: 1819-6608
Uncontrolled Keywords: fisher matrix, multivariate conditional dynamic correlation DCC-MGARCH method
Faculty/Centre/Office: Faculty of Bioengineering and Technology
URI: http://discol.umk.edu.my/id/eprint/7369
Statistic Details: View Download Statistic

Edit Record (Admin Only)

View Item View Item

The Office of Library and Knowledge Management, Universiti Malaysia Kelantan, 16300 Bachok, Kelantan.
Digital Special Collection (UMK Repository) supports OAI 2.0 with a base URL of http://discol.umk.edu.my/cgi/oai2