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The Wishart Autoregressive Process of Multivariate Stochastic Volatility

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Author Info
Joan Jasiak () (Department of Economics, York University)
R. Sufana (University of Toronto)
C. Gourieroux (CREST, CEPREMAP, University of Toronto)

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Abstract

The Wishart Autoregressive (WAR) process is a multivariate process of stochastic positive definite matrices. The WAR is proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any horizon and has factor representation, which separates white noise directions from those that contain all information about the past. For illustration, the WAR is applied to a sequence of intraday realized volatility covolatility matrices.

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File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/2006/War.pdf
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Publisher Info
Paper provided by York University, Department of Economics in its series Working Papers with number 2005_2.

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Length: 58 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:yca:wpaper:2005_2

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Related research
Keywords: Stochastic Volatility; Car Process; Factor Analysis; Reduced Rank; Realized Volatility;

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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  1. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics. [Downloadable!]
  2. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
  3. Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  4. Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 0816, University of Brescia, Department of Economics. [Downloadable!]
  5. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CoFE Discussion Paper 08-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  6. Daniel Burren, 2008. "The Role of Sectoral Shifts in the Great Moderation," Diskussionsschriften dp0801, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
  7. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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