@article {7715,
	title = {On Univariate and Multivariate GARCH Models: Oil Price and Stock market returns volatilities},
	journal = {International Journal of Applied Mathematics and Statistics (IJAMAS)},
	volume = {57},
	number = {No 1},
	year = {2018},
	pages = {23-33},
	abstract = {
	This paper investigates the empirical properties ofoil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this paper is to examine the relationship between stock and oil markets. In addition, we evaluate the performance of each model with a range of diagnostic and forecast performance tests using univariate GARCH(1,1) and bivariate BEKK GARCH(1,1), DCC GARCH(1,1) models.Keywords: GARCH models, Volatility, energy prices, Stock prices and Crude oil.

},
	author = {Amine Guerouah and Halim Zeghdoudi and Fatima Zohra Bouseba}
}
