Approaches to Assess Higher Dimensional Price Volatility Co-movements

Abstract

In this chapter two different multivariate GARCH models are used to analyse how volatility changes over time and markets. Multiple time series prop- erties for agricultural commodities futures are analysed and non-linearity in the variance of each series is taken into account. Both implemented models are dis- cussed in light of viability of estimation of higher dimensional time series systems. We identified patterns in volatility transmission that are of particular importance for volatility analysis and for market participants.