This paper investigates the forecasting ability of five different versions of GARCH models. The five GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-X and GARCH-GJR. Forecast errors based on four emerging stock futures portfolio return (based on forecasted hedge ratio) forecasts are employed to evaluate out-ofsample forecasting ability of the five GARCH models. Daily data...

This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets based on four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. The GARCH-X and the BEKK GARCH-X models are uniquely different from the other...

The BEKK model is a popular multivariate GARCH processes. The paper develops a new general asymmetric BEKK structure, which is based on recent empirical findings by semi-parametric news impact curves. For estimating the new model, a Markov chain Monte Carlo technique is used. Empirical results for triviarte asset returns from firms in the US indicate that the deviance information criterion favo...

Abstract For large multivariate models of generalized autoregressive conditional heteroskedasticity (GARCH), it is important to reduce the number parameters cope with ‘curse dimensionality’. Recently, Laurent, Rombouts and Violante (2014 “Multivariate Rotated ARCH Models” Journal Econometrics 179 : 16–30) developed rotated GARCH model, which focuses on for standardized variables. This paper ext...

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...

This paper investigates the forecasting ability of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model. The paper also compares the forecasting ability of the non-GARCH model the Kalman method. Forecast errors based on twenty UK company weekly stock return (based on timevary beta) forecasts ...

This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented to the reader as unconstrained optimization models with recursive terms in the literature, whereas they actually fall into the domain of nonconvex nonlinear programming. Our re...

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...

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...