IDEAS home Printed from https://ideas.repec.org/a/bpj/jtsmet/v14y2022i2p175-198n3.html
   My bibliography  Save this article

Multivariate Hyper-Rotated GARCH-BEKK

Author

Listed:
  • Asai Manabu

    (Faculty of Economics, Soka University, Tokyo, Japan)

  • McAleer Michael

    (Department of Finance, Asia University, Taichung City, Taiwan)

Abstract

For large multivariate models of generalized autoregressive conditional heteroskedasticity (GARCH), it is important to reduce the number of parameters to cope with the ‘curse of dimensionality’. Recently, Laurent, Rombouts and Violante (2014 “Multivariate Rotated ARCH Models” Journal of Econometrics 179: 16–30) developed the rotated multivariate GARCH model, which focuses on the parameters for standardized variables. This paper extends the rotated multivariate GARCH model by considering a hyper-rotation, which uses a more flexible structure for the rotation matrix. The paper shows an alternative representation based on a random coefficient vector autoregressive and moving-average (VARMA) process, and provides the regularity conditions for the consistency and asymptotic normality of the quasi-maximum likelihood (QML) estimator for VARMA with hyper-rotated multivariate GARCH. The paper investigates the finite sample properties of the QML estimator for the new model. Empirical results for four exchange rate returns show the new specifications works satisfactory for reducing the number of parameters.

Suggested Citation

  • Asai Manabu & McAleer Michael, 2022. "Multivariate Hyper-Rotated GARCH-BEKK," Journal of Time Series Econometrics, De Gruyter, vol. 14(2), pages 175-198, July.
    • Handle: RePEc:bpj:jtsmet:v:14:y:2022:i:2:p:175-198:n:3
    DOI: 10.1515/jtse-2021-0006
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/jtse-2021-0006
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/jtse-2021-0006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022. "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, vol. 115(C).

    More about this item

    Keywords

    rotated BEKK; hyper-rotated BEKK; diagonal BEKK; multivariate GARCH; quasi-maximum likelihood estimation; consistency; asymptotic normality;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:jtsmet:v:14:y:2022:i:2:p:175-198:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.