Multivariate Normal Mixture GARCH

Asymmetric multivariate normal mixture GARCH

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is ...

Screening for a Multivariate Mixture Normal Distribution

Normal Mixture Garch(1,1): Applications to Exchange Rate Modelling

Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions. This paper analyses the general normal mixture GARCH(1,1) model which can capture time variation in both conditional skewness and kurtosis. A main focus of the paper is to provide evidence that, for modelling ...

screening for a multivariate mixture normal distribution

Semiparametric Multivariate GARCH Model∗

To capture the missed information in the standardized errors by parametric multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH) model, we propose a new semiparametric MV-GARCH (SM-GARCH) model. This SM-GARCH model is a twostep model: firstly estimating parametric MV-GARCH model, then using nonparametric skills to model the conditional covariance matrix of the standa...