Plot conditional volatility and covariance series

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Consider an MGARCH framework. Suppose you intend to check if volatility series in 3 different European markets are interconnected. Use data set to answer the following questions

a Which MAGRCH specification you would choose and why? Formally introduce this specification and discuss which parameters are significant.

b Plot conditional volatility and covariance series obtained from the specification discussed in the previous part. Based on these plots can you identify periods when markets are more connected?

Reference no: EM133074635

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