Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096827 | Journal of Econometrics | 2009 | 15 Pages |
Abstract
The Wishart Autoregressive (WAR) process is a dynamic model for time series of multivariate stochastic volatility. The WAR naturally accommodates the positivity and symmetry of volatility matrices and provides closed-form non-linear forecasts. The estimation of the WAR is straighforward, as it relies on standard methods such as the Method of Moments and Maximum Likelihood. For illustration, the WAR is applied to a sequence of intraday realized volatility-covolatility matrices from the Toronto Stock Market (TSX).
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
C. Gourieroux, J. Jasiak, R. Sufana,