Multivariate regimeswitching GARCH with an application to international stock markets

Markus Haas and Stefan Mittnik

No 2008/08, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection and computation of Value-at-Risk.

Keywords: Conditional Volatility; Markov-Switching; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C32 C51 G10 G11 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200808

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