Dynamic Conditional Eigenvalue GARCH

Publikation: Working paperForskning

In this paper we consider a multivariate generalized autoregressive conditional heteroskedastic (GARCH) class of models where the eigenvalues of the conditional covariance matrix are time-varying. The proposed dynamics of the eigenvalues is based on applying the general theory of dynamic conditional score models as proposed by Creal, Koopman and Lucas (2013) and Harvey (2013). We denote the obtained GARCH model with dynamic conditional eigenvalues (and constant conditional eigenvectors) as the λ-GARCH model. We provide new results on asymptotic theory for the Gaussian QMLE, and for testing of reduced rank of the (G)ARCH loading matrices of the time-varying eigenvalues. The theory is applied to US data, where we find that the eigenvalue structure can be reduced similar to testing for the number in factors in volatility models.
OriginalsprogEngelsk
Antal sider55
DOI
StatusUdgivet - 17 dec. 2019
NavnUniversity of Copenhagen. Institute of Economics. Discussion Papers (Online)
Nummer19-13
ISSN1601-2461

    Forskningsområder

  • Multivariate GARCH, GO-GARCH, Reduced Rank, Asymptotic Theory, C32, C51, C58

ID: 248551786