Fisher information matrix for multivariate method of conditional dynamiccorrelations DCC-MGARCH(1,1)
The analytic form of Fisher Information Matrix (IM) written for DCC-MGARCH(1,1) wassuggested. After that it was applied for simplifying the general algorithm: the statistical hypothesisabout constant correlation matrix usage was put forward and statistical verification was made.IM was employed for Russian share market: to do investigations the five equilibrium portfolioswas compounded from four different shares in each case. Computations made showed that thereare three types T1-T3 of trading days on the market and day type changing from T1 to T2 andvice versa is happening over the time moments T3. Moreover, the clusterization effect of multivariatevolatility, that investigated by scientists from all around the world in the univariate case,was discovered and described.
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Keywords
информационная матрица, многомерная динамическая условная корреляция DCC-MGARCH, information matrix, multivariate conditional dynamic correlation DCC-MGARCHAuthors
| Name | Organization | |
| Kritski O.L. | olegkol@tpu.ru |
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