- Tytuł:
- Hybrid MSV-MGARCH Models - General Remarks and the GMSF-SBEKK Specification
- Autorzy:
-
Osiewalski, Jacek
Osiewalski, Krzysztof - Powiązania:
- https://bibliotekanauki.pl/articles/2076468.pdf
- Data publikacji:
- 2016
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Bayesian econometrics
multivariate volatility models
MGARCH processes
MSV processes
financial markets
commodity markets - Opis:
- The first so-called hybrid MSV-MGARCH models were characterized by the conditional covariance matrix that was a product of a univariate latent process and a matrix with a simple MGARCH structure (Engle’s DCC or scalar BEKK). The aim was to parsimoniously describe volatility of a large group of assets. The proposed hybrid models, similarly as pure MSV specifications (and other models based on latent processes), required the Bayesian approach equipped with efficient MCMC simulation tools. The numerical effort has payed – the hybrid models seem particularly useful due to their good fit and ability to jointly cope with large portfolios. In particular, the simplest hybrid, now called the MSF-SBEKK model, has been successfully used in many applications. However, one latent process may be insufficient in the case of a highly heterogeneous portfolio. Thus, in this study we discuss a general hybrid MSV-MGARCH model structure, showing its basic characteristics that explain greater flexibility of such hybrid structure with respect to the corresponding MGARCH class. From the empirical perspective, we advocate the GMSF-SBEKK specification, which uses as many latent processes as there are relatively homogeneous groups of assets. We present full Bayesian inference for such models, with the use of an efficient MCMC simulation strategy. The approach is used to jointly model volatility on very different markets. Joint modelling is formally compared to individual modelling of volatility on each market.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2016, 4; 241-271
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł