Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Tomoaki Nakatani and Timo Teräsvirta

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev (1990) and its extensions. Under the new conditions, it is possible to introduce negative volatility spillovers in the model. An empirical example illustrates usefulness of having such conditions in practice. -- Multivariate GARCH ; positivity constraints ; conditional correlation

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Year of publication:	15 Nov. 2007
Other Persons:	Nakatani, Tomoaki (contributor) ; Teräsvirta, Timo (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	Finanzmarkt \| Financial market \| Kapitaleinkommen \| Capital income \| ARCH-Modell \| ARCH model \| Mathematische Optimierung \| Mathematical programming \| Zeitreihenanalyse \| Time series analysis \| Japan \| 1983-2006

Extent:	Online-Ressource (PDF-Datei: 12 S., 130 KB)
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 675
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G19 - General Financial Markets. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003576679