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Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial

Author

Listed:
  • Jorge Alberto Achcar
  • Edilberto Cepeda-Cuervo
  • Milton Barossi-Filho

Abstract

En este artículo se presenta una breve descripción de modelos GARCH multivariados y se realizan inferencias de la volatilidad de series de tiempo usando un enfoque Bayesiano, utilizando algoritmos de simulación de Monte Carlo (MCMC). Como una aplicación para ilustrar la metodología propuesta, se analizan los log-retornos de IBOVESPA y Dow Jones Industrial en una base semanal de 04/27/1993 para 11/03/2008.

Suggested Citation

  • Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, June.
    • Handle: RePEc:col:000093:009960
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    References listed on IDEAS

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    Cited by:

    1. João Pedro Coli de Souza Monteneri Nacinben & Márcio Laurini, 2024. "Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension," Econometrics, MDPI, vol. 12(1), pages 1-28, February.

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    More about this item

    Keywords

    GARCH multivariados; modelos de volatilidad estocástica; series de tiempo financieras; metodología bayesiana; simulación de Monte Carlo.;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: 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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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