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QML estimation of a class of multivariate GARCH models without moment conditions on the observed process

We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.
Francq, Christian, Zakoian, Jean-Michel
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Determinants of food price volatility in Nigeria

Agricultura Tropica et Subtropica, 2018
In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility ...
Fasanya Ismail Olaleke, Olawepo Feyikunayo   +1 more
doaj   +1 more source

Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE [PDF]

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those studies of price discovery, in which stock prices of the same underlying asset are cointegrated and they exhibit multivariate GARCH ...
Chor-yiu SIN
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Metal Returns, Stock Returns and Stock Market Volatility

Economía, 2015
Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the ...
Mauricio Zevallos, Carlos del Carpio
doaj  

Temporal aggregation of univariate and multivariate time series models: A survey [PDF]

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed.
Andrea Silvestrini, David Veredas
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AgTech: Volatility Prediction for Agricultural Commodity Exchange Trading Applied Deep Learning

IEEE Access
The rapid advancement of computer science technology and artificial intelligence has generated heightened investor interest in quantitative trading, primarily attributable to its exceptional efficiency and consistent performance.
Ngoc-Bao-van Le, Yeong-Seok Seo, Jun-Ho Huh   +2 more
doaj   +1 more source

Estimation of temporally aggregated multivariate GARCH models

This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models.Since these are known to be only weak GARCH, the conditional variance of the aggregated ...
Hafner, C.M., Rombouts, J.V.K.
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Consistent ranking of multivariate volatility models [PDF]

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional ...
ROMBOUTS, Jeroen V.K., LAURENT, Sebastien, VIOLANTE, FRANCESCO   +2 more
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Ranking multivariate GARCH models by problem dimension

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Caporin, M., McAleer, M.J.
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Comparing univariate and multivariate models to forecast portfolio value-at-risk [PDF]

This article addresses the problem of forecasting portfolio value-at-risk (VaR) with multivariate GARCH models vis-à-vis univariate models. Existing literature has tried to answer this question by analyzing only small portfolios and using a testing ...
Andre A. P., Esther Ruiz, Francisco J. Nogales   +2 more
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