Testing interdependence in the economic development

Authors

  • Anna Janiga-Ćmiel Wydział Zarządzania Katedra Matematyki Uniwersytet Ekonomiczny w Katowicach

DOI:

https://doi.org/10.29015/cerem.196

Keywords:

Multivariate GARCH, Model specification, Economic development

Abstract

The paper examines the development of Polish economy as well as the development of the UK economy in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built. A comparative analysis of the development of economies in the countries concerned (the United Kingdom, Poland), based on a specially built multivariate GARCH model, is presented. The theory of the construction of
a multivariate GARCH model and its estimation method are discussed.

References

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Issue

Vol. 15 No. 5 (2015)

Section

Articles

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