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
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 shown that the disaggregation of the conditional (co)variance process generated by the model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out–of–sample Value–at–Risk measures. JEL Classification: C32, C51, G10, G11
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Metadaten
Author:Markus Haas, Stefan Mittnik, Marc S. Paolella
URN:urn:nbn:de:hebis:30-53240
Series (Serial Number):CFS working paper series (2008, 07)
Document Type:Working Paper
Language:English
Date of Publication (online):2008/03/03
Year of first Publication:2008
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2008/03/03
Tag:Conditional Volatility ; Finite Normal Mixtures ; Leverage Effect; Multivariate GARCH
HeBIS PPN:195435443
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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