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Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets

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Academic year: 2020

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Figure

Figure 1: Daily returns series plot
Figure 2: Dynamic conditional correlation and Baba, Engle, Kraft and Kroner estimated volatility versus empirical volatility portfolio
Figure 4: Forecasted volatilities with dynamic conditional correlation and Baba, Engle, Kraft and Kroner models
Table 5: Models mean absolute errors for evaluating forecast
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