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.
| Author: | Markus HaasGND, Stefan MittnikORCiDGND, Marc S. Paolella |
|---|---|
| URN: | urn:nbn:de:hebis:30-53240 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,07 |
| Series (Serial Number): | CFS working paper series (2008, 07) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2008/03/03 |
| Tag: | Conditional Volatility; Finite Normal Mixtures; Leverage Effect; Multivariate GARCH |
| GND Keyword: | GARCH-Prozess |
| Issue: | January 18, 2008 |
| Page Number: | 44 |
| HeBIS-PPN: | 195435443 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
| C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation | |
| Licence (German): |  Deutsches Urheberrecht |
