Second-oder noncausality in multivariate GARCH processes (Q2742779)
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scientific article; zbMATH DE number 1650420
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| English | Second-oder noncausality in multivariate GARCH processes |
scientific article; zbMATH DE number 1650420 |
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23 September 2001
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noncausality
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ARMA models
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GARCH processes
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VARMA models
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Second-oder noncausality in multivariate GARCH processes (English)
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The purpose of this paper is to characterize variance noncausality in a multivariate framework. Two new definitions of variance noncausality are given and are related to the second-oder noncausality concept introduced in the bivariate setting by \textit{C.W.J. Granger, R.P. Robins} and \textit{R.F. Engle} [Wholesale and retail prices: bivariate time series modeling with forecastable error variances. In: D. Belsey and E. Kuh (eds.), Model reliability. Boston (1986)]. The first one is a Grange-type noncausality and the second one is a linear Granger noncausality through projections on Hilbert spaces. Connections between mean, second-oder and variance noncausality concepts are drawn. Sufficient conditions for second-oder noncausality in multivariate GARCH are given. The results are illustrated by a trivariate model of daily financial returns.
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