Ch 10 - Multivariate volatility models

Question 1

The variance of a vector of random variables is not the vector of variances of the individual variables, rather it is a ___________

Answer 1

A matric of variances and covariances

Question 2

What are 2 problems in multivariance volatility modelling?

Answer 2

Parsimony, positive definiteness

Question 3

Name 2 multivariate volatility models

Answer 3

Constant conditional correlation (CCC)

The risk metrics exponential smoother

Question 4

What is one way of evaluating a multivariate model?

Answer 4

Investigate how the various models perform in a portfolio decision problem