The Multivariate MF2 Realized GARCH Model
Anne Opschoor, Michael Stollenwerk
May, 2022Abstract
We extend the MF2 GARCH model by Engle and Conrad (2022) to a multivariate setting and use high-frequency based realized covariance matrices instead of daily data.
![Michael Stollenwerk](/authors/admin/avatar_hu2651cdab0c32e505e5d3ea213c5ec384_95456_270x270_fill_q75_lanczos_center.jpg)
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