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 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
| 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): | 03.03.2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| 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): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
