4.9.1 CCC-GARCH

4.9.1  CCC-GARCH

Bollerslev (1990) proposes an n-dimensional GARCH model that comprises n univariate GARCH processes tWi related to one another with a constant conditional correlation matrix ρ. We call this the constant conditional correlation GARCH or CCC-GARCH model. It has form

[4.78]

[4.79]

where ρ is a correlation matrix, and

[4.80]

with conditional variances  modeled as with a univariate GARCH(p,q) process:

[4.81]

These may be estimated using maximum likelihood.