English, Article, Journal or magazine article edition: A Component GARCH Model with Time Varying Weights Luc, BAUWENS; G., STORTI

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Bookmark: http://trove.nla.gov.au/version/178208
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Component GARCH Model with Time Varying Weights
Author
  • Luc, BAUWENS
  • G., STORTI
Physical Description
  • preprint
Notes
  • We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a convex combination of unobserved GARCH components where the combination weights are time varying as a function of appropriately chosen state variables. In order to make inference on the model parameters, we develop a Gibbs sampling algorithm. Adopting a fully Bayesian approach allows to easily obtain medium and long term predictions of relevant risk measures such as value at risk and expected shortfall. Finally we discuss the results of an application to a series of daily returns on the S&​P500.
  • Persistence, Volatility components, Value-at-risk, Expected short-fall
  • RePEc:ctl:louvec:2007012
Language
  • English
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