Asymmetric CCC Modelling in Multivariate-GARCH with Illustrations of Multivariate Financial Data Park, R.H.; Choi, M.S.; Hwan, S.Y.;
It has been relatively incomplete in the field of financial time series to adapt asymmetric features to multivar ate GARCH processes (McAleer et al., 2009). Retaining constant conditional correlation(CCC) structure, this article pursues to introduce asymmetric GARCH modelling in analysing multivariate volatilities in time series in a practical point of view. Multivariate Korean financial time series are analyzed in detail to compar our theory with conventional methodologies including GARCH and EGARCH.