Download or read book Multivariate Leverage Effects and Realized Semicovariance GARCH Models written by Tim Bollerslev and published by . This book was released on 2018 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose new asymmetric multivariate volatility models. The models exploit estimates of variances and covariances based on the signs of high-frequency returns, measures known as realized semivariances, semicovariances, and semicorrelations, to allow for more nuanced responses to positive and negative return shocks than threshold “leverage effect” terms traditionally used in the literature. Our empirical implementations of the new models, including extensions of widely-used bivariate GARCH pecifications for a number of individual stocks and the aggregate market portfolio as well as larger dimensional dynamic conditional correlation type formulations for a cross-section of individual stocks, provide clear evidence of improved model fit and reveal new and interesting asymmetric joint dynamic dependencies.
Download or read book Conceptual Econometrics Using R written by and published by Elsevier. This book was released on 2019-08-20 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
Download or read book Multivariate GARCH models The time varying variance covariance for the exchange rate written by Tekle Bobo and published by GRIN Verlag. This book was released on 2020-11-03 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Literature Review from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, , language: English, abstract: This paper is a review to the GARCH family’s models. Since the seminal paper of Engle from 1982, much advancement has been made in understanding GARCH models and their multivariate extensions. In MGARCH models parsimonious models should be used to overcome the difficulty of estimating the VEC model ensuring MGARCH modeling is to provide a realistic and parsimonious specification of the variance matrix ensuring its positivity. BEKK models are flexible but require too many parameters for multiple time series of more than four elements. BEKK models are much more parsimonious but very restrictive for the cross-dynamics. They are not suitable if volatility transmission is the object of interest, but they usually do a good job in representing the dynamics of variances and covariance. DCC models allow for different persistence between variances and correlations, but impose common persistence in the latter (although this may be relaxed) Student’s t distribution assumption is more proper under negative skewness and high kurtosis of return series. Understanding and predicting the temporal dependence in the second-order moments of asset returns is important for many issues in financial econometrics. It is now widely accepted that financial volatilities move together over time across assets and markets. Recognizing this feature through a multivariate modeling framework leads to more relevant empirical models than working with separate univariate models. From a financial point of view, it opens the door to better decision tools in various areas, such as asset pricing, portfolio selection, option pricing, and hedging and risk management. Indeed, unlike at the beginning of the 1990s, several institutions have now developed the necessary skills to use the econometric theory in a financial perspective.
Download or read book Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data written by Norman R. Swanson and published by MDPI. This book was released on 2021-08-31 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Download or read book ECML PKDD 2018 Workshops written by Carlos Alzate and published by Springer. This book was released on 2019-02-06 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised selected papers from two workshops held at the 18th European Conference on Machine Learning and Knowledge Discovery in Databases, ECML PKDD 2018, in Dublin, Ireland, in September 2018, namely: MIDAS 2018 – Third Workshop on Mining Data for Financial Applications and PAP 2018 – Second International Workshop on Personal Analytics and Privacy. The 12 papers presented in this volume were carefully reviewed and selected from a total of 17 submissions.
Download or read book DCC HEAVY written by Yongdeng Xu and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their differences from DCC-GARCH models. Specifically, the dynamics of conditional variances are driven by the lagged realized variances, while the dynamics of conditional correlations are driven by the lagged realized correlations in the DCC-HEAVY model. The new model removes well known asymptotic bias in DCC-GARCH model estimation and has more desirable asymptotic properties. We also derive a Quasi-maximum likelihood estimation and provide closed-form formulas for multi-step forecasts. Empirical results suggest that the DCC-HEAVY model outperforms the DCC-GARCH model in and out-of-sample.
Download or read book Realized Beta GARCH written by Peter Reinhard Hansen and published by . This book was released on 2012 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We introduce a multivariate GARCH model that incorporates realized measures of volatility and covolatility. The realized measures extract information about the current level of volatility and covolatility from high-frequency data, which is particularly useful for the modeling of return volatility during periods with rapid changes in volatility and covolatility. When applied to market returns in conjunction with returns on an individual asset, the model yields a dynamic model of the conditional regression coefficient that is known as the beta. We apply the model to a large set of assets and find the conditional betas to be far more variable than is usually found with rolling-window regressions based exclusively on daily returns. In the empirical part of the paper we examine the cross-sectional as well as the time variation of the conditional beta series during the financial crises.
Download or read book Multivariate GARCH and Realized Volatility Models written by Robert Charles Lee (III.) and published by . This book was released on 2006 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Realized Wishart Garch written by Peter Reinhard Hansen and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance matrix relies on the score function of the joint likelihood function based on Gaussian and Wishart densities. The dynamic model is parsimonious while each innovation still impacts all elements of the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We illustrate the model with an empirical application to a portfolio of 15 U.S. financial assets.
Download or read book Realized GARCH written by Zhuo Huang and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these models. In this thesis, we introduce a new framework for the joint modeling of returns and realized measures of volatility. A key feature of the Realized GARCH framework is a measurement equation that relates the observed realized measure to latent volatility. The new framework fills the gap between two lines of research on volatility modeling: GARCH and high frequency data. There are three major advantages of the Realized GARCH framework. First, the new framework nests most GARCH models as special cases and is, in many ways, a natural extension of standard GARCH models. The models with linear and log-linear specifications retain the simplicity and tractability of the classical GARCH framework; they imply an ARMA structure for the conditional variance and for the realized measures of volatility; and models in this class are parsimonious and simple to estimate. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility that is commonly referred to as the leverage effect. Second, by incorporating the realized measures into the model, which are based on high frequency data and are much more accurate measurements for integrated volatility than daily squared returns, the Realized GARCH models provide a better performance in modeling and forecasting volatility. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over to the standard GARCH model. This is true in-sample as well as out-of-sample. Moreover, the point estimates are remarkably similar across the different time series. Third, the measurement equation enables us to obtain additional insights on the bias and variance of different realized measures. Realized EGARCH model further extends the Realized GARCH model by reparameterizing the model and allowing different impacts of the leverage effect and residual measurement error on the conditional variance. The empirical results are in general consistent with the theoretical results in high frequency data literature and give practical guidance about how to use realized measures directly. The Realized EGARCH model is also applied to the exchange traded fund S & P500 index to study the volatility shocks during the financial crisis. We use this model to zoom into the events during the 2007-2009 period, and the model produces a daily series of volatility shocks. We link the announcements of events to large positive and negative volatility shocks.
Download or read book Multivariate Normal Mixture GARCH written by Markus Haas and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate GARCH and Dynamic Copula Models for Financial Time Series written by Martin Grziska and published by Pro BUSINESS. This book was released on 2015-02-05 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents several non-parametric and parametric models for estimating dynamic dependence between financial time series and evaluates their ability to precisely estimate risk measures. Furthermore, the different dependence models are used to analyze the integration of emerging markets into the world economy. In order to analyze numerous dependence structures and to discover possible asymmetries, two distinct model classes are investigated: the multivariate GARCH and Copula models. On the theoretical side a new dynamic dependence structure for multivariate Archimedean Copulas is introduced which lifts the prevailing restriction to two dimensions and extends the multivariate dynamic Archimedean Copulas to more than two dimensions. On this basis a new mixture copula is presented using the newly invented multivariate dynamic dependence structure for the Archimedean Copulas and mixing it with multivariate elliptical copulas. Simultaneously a new process for modeling the time-varying weights of the mixture copula is introduced: this specification makes it possible to estimate various dependence structures within a single model. The empirical analysis of different portfolios shows that all equity portfolios and the bond portfolios of the emerging markets exhibit negative asymmetries, i.e. increasing dependence during market downturns. However, the portfolio consisting of the developed market bonds does not show any negative asymmetries. Overall, the analysis of the risk measures reveals that parametric models display portfolio risk more precisely than non-parametric models. However, no single parametric model dominates all other models for all portfolios and risk measures. The investigation of dependence between equity and bond portfolios of developed countries, proprietary, and secondary emerging markets reveals that secondary emerging markets are less integrated into the world economy than proprietary. Thus, secondary emerging markets are moresuitable to diversify a portfolio consisting of developed equity or bond indices than proprietary.
Download or read book Inference and Testing in Multivariate GARCH Models written by and published by . This book was released on with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage written by Stanislav Anatolyev and published by . This book was released on 2015 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing dynamic models for realized covariance matrices do not account for an asymmetry with respect to price directions. We modify the recently proposed conditional autoregressive Wishart (CAW) model to allow for the leverage effect. In the conditional threshold autoregressive Wishart (CTAW) model and its variations the parameters governing each asset's volatility and covolatility dynamics are subject to switches that depend on signs of previous asset returns or previous market returns. We evaluate the predictive ability of the CTAW model and its restricted and extended specifications from both statistical and economic points of view. We find strong evidence that many CTAW specifications have a better in-sample fit and tend to have a better out-of-sample predictive ability than the original CAW model and its modifications.
Download or read book Semiparametric Multivariate GARCH Models written by Christian Hafner and published by . This book was released on 2003 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Robust Ranking of Multivariate GARCH Models by Problem Dimension written by M. Caporin and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Application of Multivariate GARCH Models to Turbulent Financial Markets written by Edy Zahnd and published by . This book was released on 2002 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
