Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model

被引：14
|
作者：
Lee, Chien -Chiang [1 ]
Lee, Hsiang -Tai [1 ]
机构：
[1] Nanchang Univ, Sch Econ & Management, Nanchang, Peoples R China
来源：
GLOBAL FINANCE JOURNAL | 2023年 / 55卷
关键词：
Multiple state variables; Regime switching; GARCH; Volatility spillover; Time -varying correlation; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; ASSET ALLOCATION; SAFE HAVEN; GOLD; VOLATILITY; FUTURES; RETURNS; PRICES; MARKET; HEDGE;
D O I：
10.1016/j.gfj.2023.100808
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A multi-chain regime-switching spillover GARCH (MCRSSG) model is proposed for optimal portfolio diversification. MCRSSG specifies the within-regime time-varying correlation via a multi-chain state-dependent spillover factor and quantifies the magnitude of volatility spillovers under different regime combinations. MCRSSG is applied to investigate the diversification benefit of precious metals, crude oil, and financial securities for the Korean stock market at a sector level. The empirical results reveal that the Dow Jones Islamic market US total return index provides the best diversification benefit and MCRSSG exhibits superior effectiveness for risk-adjusted return and reward-to-semivariance ratio.
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页数：16
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