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Extended Constant Conditional Correlation (ECCC) Model for Multivariate GARCH Time Series: an Illustration다변량 GARCH 모형의 CCC 및 ECCC 비교분석
- Other Titles
- 다변량 GARCH 모형의 CCC 및 ECCC 비교분석
- Issue Date
- Dec-2014
- Publisher
- 한국통계학회
- Keywords
- Constant conditional correlation (CCC); extended-CCC (ECCC); interactions.; 상수조건부상관; 확장된 상수조건부상관; 변동성간의 상호작용
- Citation
- 응용통계연구, v.27, no.7, pp 1219 - 1228
- Pages
- 10
- Journal Title
- 응용통계연구
- Volume
- 27
- Number
- 7
- Start Page
- 1219
- End Page
- 1228
- ISSN
- 1225-066X
- Abstract
- Constant conditional correlation (CCC) is frequently employed for parsimony in the field of multivariate GARCH time series. An extended-CCC (ECCC) model is further developed in order to allow interactions between multivariate volatilities. The paper introduces both CCC model and ECCC model to the domestic financial time series. The CCC and ECCC models are fitted and then compared with each other through various multivatiate time series.
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