The Wishart Autoregressive Process of Multivariate Stochastic Volatility

Joann Jasiak, R. Sufana and Christian S. Gourieroux
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R. Sufana: University of Toronto

Working Papers from York University, Department of Economics

Abstract: The Wishart Autoregressive (WAR) process is a multivariate process of stochastic positive definite matrices. The WAR is proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any horizon and has factor representation, which separates white noise directions from those that contain all information about the past. For illustration, the WAR is applied to a sequence of intraday realized volatility covolatility matrices.

Keywords: Stochastic Volatility; Car Process; Factor Analysis; Reduced Rank; Realized Volatility (search for similar items in EconPapers)
JEL-codes: G13 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
Date: 2005-09
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Persistent link: http://EconPapers.repec.org/RePEc:yca:wpaper:2005_2

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