Page 684 - 8th European Congress of Mathematics ∙ 20-26 June 2021 ∙ Portorož, Slovenia ∙ Book of Abstracts

STATISTICS AND FINANCIAL MATHEMATICS
using 20 years data from five stations in Malaysia. The findings are important for the develop-
ment of weather index insurance.

Special classes of multivariate generalised autoregressive conditional
heteroskedasticity models

Anthony Usoro, anthonyusoro@aksu.edu.ng
Akwa Ibom State University, Nigeria

Coauthors: Clement Awakessien, Omekara Chukwuemeka
This paper considers Multivariate Generalised Autoregressive Conditional Heteroskedasticity
Models with some conditions for identification of some special classes of the MGARCH(p,q)
models. The volatility series of Nigeria Average, Urban and Rural Consumer Price Indices are
used for the analysis. From the MGARCH (p,q) model, Isolated MGARCH(p,0) and Isolated
MGARCH(0,q) models are established as new classes of Multivariate GARCH (p.q) models.

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