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. 2022 May 10;75:39–60. doi: 10.1016/j.eap.2022.05.001

Fig. 2.

Fig. 2

Modeling the marginal and multivariate dynamics. This figure presents the outputs of the multivariate model. Panel A reports on the time-varying volatilities obtained from modeling the marginal distributions of the different assets via AR-GARCH specifications. All considered patterns are expressed in annual terms. Panel B represents the time-varying Kendall’s tau dependences resulting from the DCC skew Student copula estimations.