A Review of Multivariate – GARCH Models

This paper is an attempt to explore the most important developments in the multivariate GARCH modeling. A detailed discussion of VEC and BEKK models, Conditional correlation model, and dynamic model along with their important features has been carried out. Apart from that this paper also contains a brief discussion on the estimation procedure of these models. This paper has critically reviewed the studies appeared in the literature on heteroscedasticity and concluded that the higher the dimension of models, the greater the parameters to be estimated and the more infeasible the models become. Finally, the paper also sheds lights on the application of these models in different issues like volatility spillover, asset pricing and hedging futures of Financial Econometrics.