کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5106314 | 1481430 | 2018 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
MGARCH models: Trade-off between feasibility and flexibility
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
Multivariate GARCH (MGARCH) models need to be restricted so that their estimation is feasible in large systems and so that the covariance stationarity and positive definiteness of conditional covariance matrices are guaranteed. This paper analyzes the limitations of some of the popular restricted parametric MGARCH models that are often used to represent the dynamics observed in real systems of financial returns. These limitations are illustrated using simulated data generated by general VECH models of different dimensions in which volatilities and correlations are interrelated. We show that the restrictions imposed by the BEKK model are very unrealistic, generating potentially misleading forecasts of conditional correlations. On the other hand, models based on the DCC specification provide appropriate forecasts. Alternative estimators of the parameters are important in order to simplify the computations, and do not have implications for the estimates of conditional correlations. The implications of the restrictions imposed by the different specifications of MGARCH models considered are illustrated by forecasting the volatilities and correlations of a five-dimensional system of exchange rate returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 34, Issue 1, JanuaryâMarch 2018, Pages 45-63
Journal: International Journal of Forecasting - Volume 34, Issue 1, JanuaryâMarch 2018, Pages 45-63
نویسندگان
Daniel de Almeida, Luiz K. Hotta, Esther Ruiz,