New model simplifies asset risk estimation for better investment decisions.
A new type of GARCH model called Dynamic Conditional Correlation Multivariate GARCH was developed to estimate changing covariance between multiple assets. The model simplifies the process by first estimating volatility for each asset separately, then calculating correlation using the results. The model was tested on 100 assets and showed strong performance, making it easy to use for estimating covariance in financial markets.