Multivariate Variance Targeting in the BEKK-GARCH Model
نویسندگان
چکیده
منابع مشابه
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...
متن کاملSemiparametric 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...
متن کاملOn the Relation Between the vec and BEKK Multivariate GARCH Models
The question which multivariate GARCH models in the vec form are representable in the BEKK form is addressed. Using results from linear algebra, it is established that all vec models not representable in the simplest BEKK form contain matrices as parameters which map the vectorised positive semi-definite matrices into a strict subset of themselves. Moreover, a general result from linear algebra...
متن کاملDo We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author. for financial support. This is an abridged and revised version of a paper entitled " Do we really need both BEKK and DCC? A tal...
متن کاملTesting for Causality in Variance using Multivariate GARCH Models
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate GARCH (or BEKK), and constr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2177967