Asymmetric CCC Modelling in Multivariate-GARCH with Illustrations of Multivariate Financial Data

被引：1

作者：

Park, R. H. ^{[1
]}

Choi, M. S. ^{[1
]}

Hwang, S. Y. ^{[1
]}

机构：

[1] Sookmyung Womens Univ, Dept Stat, Seoul 140742, South Korea

来源：

KOREAN JOURNAL OF APPLIED STATISTICS | 2011年 / 24卷 / 05期

关键词：

Asymmetric volatility; CCC; multivariate GARCH;

D O I：

10.5351/KJAS.2011.24.5.821

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

It has been relatively incomplete in the field of financial time series to adapt asymmetric features to multivariate GARCH processes (McAleer et al., 2009). Retaining constant conditional correlation(CCC) structure, this article pursues to introduce asymmetric GARCH modelling in analysing multivariate volatilities in time series in a practical point of view. Multivariate Korean financial time series are analyzed in detail to compare our theory with conventional methodologies including GARCH and EGARCH.

引用

页码：821 / 831

页数：11

共 15 条

[1]

[Anonymous], 2010, ANAL FINANCIAL TIME

[2] Multivariate GARCH models: A survey [J].

Bauwens, L ;

Laurent, S ;

Rombouts, JVK .

JOURNAL OF APPLIED ECONOMETRICS, 2006, 21 (01) :79-109

[3]

Black F., 1976, P AM STAT ASS BUS EC, P177

[4] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J].

BOLLERSLEV, T ;

ENGLE, RF ;

WOOLDRIDGE, JM .

JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) :116-131

[5] MODELING THE COHERENCE IN SHORT-RUN NOMINAL EXCHANGE-RATES - A MULTIVARIATE GENERALIZED ARCH MODEL [J].

BOLLERSLEV, T .

REVIEW OF ECONOMICS AND STATISTICS, 1990, 72 (03) :498-505

[6] Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J].

Engle, R .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) :339-350

[7] MULTIVARIATE SIMULTANEOUS GENERALIZED ARCH [J].

ENGLE, RF ;

KRONER, KF .

ECONOMETRIC THEORY, 1995, 11 (01) :122-150

[8] ON THE RELATION BETWEEN THE EXPECTED VALUE AND THE VOLATILITY OF THE NOMINAL EXCESS RETURN ON STOCKS [J].

GLOSTEN, LR ;

JAGANNATHAN, R ;

RUNKLE, DE .

JOURNAL OF FINANCE, 1993, 48 (05) :1779-1801

[9] STRUCTURE AND ASYMPTOTIC THEORY FOR MULTIVARIATE ASYMMETRIC CONDITIONAL VOLATILITY [J].

McAleer, Michael ;

Hoti, Suhejla ;

Chan, Felix .

ECONOMETRIC REVIEWS, 2009, 28 (05) :422-440

[10] CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS - A NEW APPROACH [J].

NELSON, DB .

ECONOMETRICA, 1991, 59 (02) :347-370

← 1 2 →