Volatility estimation of multivariate ARMA-GARCH model

DOI10.11916/J.ISSN.1005-9113.18077MaRDI QIDQ5127660zbMATH OpenOpenAlexFDO

Authors Pengfei Xie, Jimin Ye, Junyuan Wang

Publication date 27 October 2020

Full work available at URL http://hit.alljournals.cn/html/jhit_cn/2020/1/20200104.html

zbMATH Keywords

causal structureindependent componentmultivariate GARCH modelstructural autoregressive moving-averagevolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

• scientific article; zbMATH DE number 7234889
• A multivariate threshold GARCH model
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
• Estimating multivariate volatility models equation by equation

Cited in

(10)

• Cost-sensitive estimation of ARMA models for financial asset return data
• Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
• scientific article; zbMATH DE number 7234889 (Why is no real title available?)
• scientific article; zbMATH DE number 5669994 (Why is no real title available?)
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• scientific article; zbMATH DE number 1222303 (Why is no real title available?)
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Two Cholesky-log-GARCH models for multivariate volatilities
• Network GARCH model
• ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density

This page was built for publication: Volatility estimation of multivariate ARMA-GARCH model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5127660)