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Estimating multivariate volatility models equation by equation

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  • Christian Francq
  • Jean-Michel Zakoïan

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  • Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:3:p:613-635
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    2. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
    3. Weide, R. van der, 2002. "Generalized Orthogonal GARCH. A Multivariate GARCH model," CeNDEF Working Papers 02-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    4. repec:taf:jnlbes:v:30:y:2012:i:2:p:212-228 is not listed on IDEAS
    5. Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
    6. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
    7. Escanciano, Juan Carlos, 2009. "Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models," Econometric Theory, Cambridge University Press, vol. 25(2), pages 561-570, April.
    8. Boussama, Farid & Fuchs, Florian & Stelzer, Robert, 2011. "Stationarity and geometric ergodicity of BEKK multivariate GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2331-2360, October.
    9. Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(1), pages 70-86, February.
    10. Francq, Christian & Zakoïan, Jean-Michel, 2012. "Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models," Econometric Theory, Cambridge University Press, vol. 28(1), pages 179-206, February.
    11. He, Changli & Teräsvirta, Timo, 2004. "An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure," Econometric Theory, Cambridge University Press, vol. 20(5), pages 904-926, October.
    12. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
    13. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
    14. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    15. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
    16. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
    17. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    18. Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 838-862, June.
    19. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
    20. Lanne, Markku & Saikkonen, Pentti, 2007. "A Multivariate Generalized Orthogonal Factor GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 61-75, January.
    21. Gian Piero Aielli, 2013. "Dynamic Conditional Correlation: On Properties and Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 282-299, July.
    22. Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013. "On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 29(3), pages 545-566, June.
    23. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
    24. Hafner, Christian M. & Reznikova, Olga, 2012. "On the estimation of dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
    25. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
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    Cited by:

    1. Xiaoning Kang & Xinwei Deng & Kam‐Wah Tsui & Mohsen Pourahmadi, 2020. "On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices," International Statistical Review, International Statistical Institute, vol. 88(3), pages 616-641, December.
    2. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
    3. Kawakatsu Hiroyuki, 2021. "Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 33-52, January.
    4. Simon Hetland, 2020. "Spectral Targeting Estimation of $\lambda$-GARCH models," Papers 2007.02588, arXiv.org.
    5. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    6. Boubacar Maïnassara, Y. & Kadmiri, O. & Saussereau, B., 2022. "Estimation of multivariate asymmetric power GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    7. Veraart, Almut E.D., 2019. "Modeling, simulation and inference for multivariate time series of counts using trawl processes," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 110-129.
    8. Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
    9. Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
    10. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    11. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
    12. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
    13. Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
    14. So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y., 2022. "Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management," Journal of Econometrics, Elsevier, vol. 227(1), pages 151-167.

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