CFS working paper series
- Conditional Volatility (1) (remove)
- 2008, 08
- Multivariate regime–switching GARCH with an application to international stock markets (2008)
- We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value–at–Risk.