Build a multivariate time varying volatility model for data

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Reference no: EM131224938

Consider the three-dimensional return series jointly.

Build a multivariate time-varying volatility model for the data, using the Cholesky decomposition.

Discuss the implications of the model and compute the 1-step ahead volatility forecast at the forecast origin t = 888.

Reference no: EM131224938

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Build a multivariate time varying volatility model for data : Build a multivariate time-varying volatility model for the data, using the Cholesky decomposition.- Discuss the implications of the model and compute the 1-step ahead volatility forecast at the forecast origin t = 888.

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