An application of three bivariate time-varying volatility models

DOI10.1002/ASMB.431MaRDI QIDQ2722298zbMATH OpenOpenAlexFDO

Authors I. D. Vrontos, S. G. Giakoumatos, Petros Dellaportas, Dimitris Politis

Publication date 11 July 2001

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.431

zbMATH Keywords

generalized autoregressive heteroskedasticityMCMCpredictive distributionunobserved ARCH

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Economic time series analysis (91B84)

Review text

The phenomenon of ``volatility clustering is often encountered in financial time series such as stock returns and exchange rates. The autoregressive conditional heteroskedasticity (ARCH) model and the stochastic volatility model are the most popular modelling approaches to capture this data structure. This paper is focused on bivariate models. It deals with the GARCH model with constant conditional correlation, a version of the ARCH model, and the unobserved ARCH model which can be classified as a stochastic volatility model. The parameters of these models are estimated using Bayesian techniques and, in particular, Markov chain Monte Carlo (MCMC). The paper is also concerned with the comparison of multivariate ARCH-GARCH and stochastic volatility models by using predictive distributions. Using the output of the MCMC algorithms these models are compared using their predictive ability following the criteria proposed by \textit{A. E. Gelfand, D. K. Dey} and \textit{H. Chang} [Bayesian Statistics, Vol. 4, Oxford University Press: Oxford, 147-167 (1992)]. For their comparative illustration the authors generalize slightly one of the models analysed by them in the previous work [Technical Report 86, Dept. of Stat., Athens Univ. of Economics and Business (1999)] by including a correlation term for the ARCH model.

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Cites work

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Cited in

(11)

• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• Modeling and forecasting volatility in a Bayesian approach
• Multivariate Volatility Models
• Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
• scientific article; zbMATH DE number 1424396 (Why is no real title available?)
• scientific article; zbMATH DE number 1424399 (Why is no real title available?)
• Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification
• Drawdown risk measures for asset portfolios with high frequency data
• Estimación bayesiana de un Modelo Garch-M Bivariado
• A semi-Markovian approach to drawdown-based measures
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures

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