Futures Portfolio Margin Model and It s Application Based on MVGARCH-VaR;

This paper put forward principle of basis dispersion,risk nonlinear hedging and dynamic hedging,on the base of minimum variance hedge model,use the MVGARCH(1,1)-BEKK model to anticipate the variance-covariance matrix of futures and cashes portfolio,build a cross hedging model of multi-futures to single cash on the base of MVGARCH model.

Review of Multivariate GARCH Models

Applications of multivariate GARCH models in the study of volatility transmission of Chinese corporate bonds;

A multivariate GARCH model is used to investigate the pro-cyclicality of China s commercial banks,using the data of GDP growth rate and the remaining loan quantity at the end of each year of commercial banks in China from 1978 to 2005.

Under normal distribution assumption,the authors discuss the calculation of dynamic VaR and CVaR through multivariate GARCH model.

This paper first briefly reviews the evolvement of univariate ARCH class models, and introduces several multivariate GARCH class models.

In this article, the author concerned with a better description of the volatility and correlations under multivariate GARCH model compared with univariate GARCH model.