Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*
| Autor: | Paolo Gorgi, P. Janus, Peter Reinhard Hansen, Siem Jan Koopman |
|---|---|
| Přispěvatelé: | Econometrics and Operations Research, Tinbergen Institute, Econometrics and Data Science |
| Rok vydání: | 2018 |
| Předmět: |
Wishart distribution
Economics and Econometrics Multivariate statistics Gaussian Autoregressive conditional heteroskedasticity Monte Carlo method Score realized covariance symbols.namesake SDG 17 - Partnerships for the Goals 0502 economics and business multivariate volatility Econometrics score Statistics::Methodology multivariate GARCH 050205 econometrics Mathematics 050208 finance Covariance matrix 05 social sciences Function (mathematics) high-frequency data symbols Finance |
| Zdroj: | Journal of Financial Econometrics, 17(1), 1-32. Oxford University Press Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized wishart-garch : A score-driven multi-Asset volatility model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007 Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007 |
| ISSN: | 1479-8417 1479-8409 |
| DOI: | 10.1093/jjfinec/nby007 |
| Popis: | We propose a novel multivariate GARCH model that incorporates realized measures for the covariance matrix of returns. The joint formulation of a multivariate dynamic model for outer-products of returns, realized variances, and realized covariances leads to a feasible approach for analysis and forecasting. The updating of the covariance matrix relies on the score function of the joint likelihood function based on Gaussian and Wishart densities. The dynamic model is parsimonious while the analysis relies on straightforward computations. In a Monte Carlo study, we show that parameters are estimated accurately for different small sample sizes. We illustrate the model with an empirical in-sample and out-of-sample analysis for a portfolio of 15 U.S. financial assets. |
| Databáze: | OpenAIRE |
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