Ch 10 - Multivariate volatility models Flashcards
1
Q
The variance of a vector of random variables is not the vector of variances of the individual variables, rather it is a ___________
A
A matric of variances and covariances
2
Q
What are 2 problems in multivariance volatility modelling?
A
Parsimony, positive definiteness
3
Q
Name 2 multivariate volatility models
A
Constant conditional correlation (CCC)
The risk metrics exponential smoother
4
Q
What is one way of evaluating a multivariate model?
A
Investigate how the various models perform in a portfolio decision problem
