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L1 regularization for high-dimensional multivariate GARCH models

Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29

tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …

Persistent link: https://www.econbiz.de/10014497339

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...

Persistent link: https://www.econbiz.de/10013459316

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494

Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...

Persistent link: https://www.econbiz.de/10012547429

Forecasting volatility and tail risk in electricity markets

Naimoli, Antonio; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-17

This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility … significantly increases the accuracy of volatility forecasts, while in forecasting Value-at-Risk and Expected Shortfall at different …

Persistent link: https://www.econbiz.de/10012622471

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 145-162

Although regulatory standards, currently developed by the Basel Committee on Banking Supervision, anticipate a shift from VaR to ES, the evaluation of risk models currently remains based on the VaR measure. Motivated by the Basel regulations, we address the issue of VaR backtesting and...

Persistent link: https://www.econbiz.de/10012487146

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models …: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …

Persistent link: https://www.econbiz.de/10012268756

Oil hedging with a multivariate semiparametric value-at-risk portfolio

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1118-1131

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

Persistent link: https://www.econbiz.de/10014305873

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

Persistent link: https://www.econbiz.de/10014295230

Volatility modeling and spillover : the Turkish and Russian stock markets

Galip Gençyürek, Ahmet - In: Istanbul business research 53 (2024) 1, pp. 81-101

This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and … of both stock indices and leverage and long memory effects are evident in the volatility series. Bidirectional volatility … spillovers between Turkish and Russian stock market indices are also evident in all time horizons. Investors can use volatility …

Persistent link: https://www.econbiz.de/10015095093

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