6 Collect data from Datastream and apply various multivariate GARCH models to the following time series (a) the spot and forward foreign exchange rates of selected industrialised nations and developing economies vis vis the US$, taking the log or log difference transformation if necessary prior to the test, (b) the stock market return indices of the US (e g S P500) and the UK (e g FTSE100), (c) the stock market return indices of Japan and Hong Kong What do you find of their links in the second moment

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Question: 6 Collect data from Datastream and apply various multivariate GARCH models to the following time series: (a) the spot and forward foreign exchange rates of

6 Collect data from Datastream and apply various multivariate GARCH models to the following time series:

(a) the spot and forward foreign exchange rates of selected industrialised nations and developing economies vis-à-vis the US$, taking the log or log difference transformation if necessary prior to the test,

(b) the stock market return indices of the US (e.g. S&P500) and the UK (e.g.

FTSE100),

(c) the stock market return indices of Japan and Hong Kong.

What do you find of their links in the second moment?

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