Efficient Estimation of a Multivariate Multiplicative Volatility Model
AbstractWe propose a multivariate generalization of the multiplicative volatility model ofEngle and Rangel (2008), which has a nonparametric long run component and aunit multivariate GARCH short run dynamic component. We suggest variouskernel-based estimation procedures for the parametric and nonparametriccomponents, and derive the asymptotic properties thereof. For the parametric partof the model, we obtain the semiparametric efficiency bound. Our method isapplied to a bivariate stock index series. We find that the univariate model of Engleand Rangel (2008) appears to be violated in the data whereas our multivariatemodel is more consistent with the data.
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Date of creation: Oct 2009
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GARCH; Kernel Estimation; Local Stationarity; Semiparametric;
Other versions of this item:
- Hafner, Christian M. & Linton, Oliver, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print peer-00732539, HAL.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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