Why is the general GARCH model not used commonly to model the full covariance matrix?

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Value at Risk The New Benchmark for Managing Financial Risk

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Question Posted: May 03, 2016 02:17 AM

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Why is the general GARCH model not used commonly to model the full covariance matrix?

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Hence for the final analysis we can say that theoreti...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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