English, Article, Journal or magazine article edition: Asymmetric Multivariate Normal Mixture GARCH Markus Haas; Stefan Mittnik; Mark S. Paolella

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Bookmark: http://trove.nla.gov.au/version/178924
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Asymmetric Multivariate Normal Mixture GARCH
Author
  • Markus Haas
  • Stefan Mittnik
  • Mark S. Paolella
Physical Description
  • preprint
Notes
  • An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is shown that the disaggregation of the conditional (co)variance process generated by the model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out–of–sample Value–at–Risk measures.
  • Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect
  • RePEc:cfs:cfswop:wp200807
Language
  • English
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