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conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …
Persistent link: https://www.econbiz.de/10011373822
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
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score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and …
Persistent link: https://www.econbiz.de/10010229896
generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …
Persistent link: https://www.econbiz.de/10011794421
We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...
Persistent link: https://www.econbiz.de/10010326396
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We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …
Persistent link: https://www.econbiz.de/10011373825