 The relation between conditionally heteroskedastic factor models and factor GARCH modelsEconometrics Journal, 1998, vol. 1, issue RegularPapers, 1-9 Abstract: The factor GARCH model of Engle (1987) and the latent factor ARCH model of Diebold and Nerlove (1989) have become rather popular multivariate volatility parametriza-tions due to their parsimony, and the commonality in volatility movements across different financial series. Nevertheless, there is some confusion in the literature between them. The purpose of this paper is to make clear their similarities and differences by providing a formal nesting of the two models, which can be exploited to analyse their statistical features in a more general context. At the same time, their differences may be important in the interpretation of empirical results. Keywords: Asset pricing; Factor models; Multivariate ARCH; Volatility. (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:1-9 Ordering information: This journal article can be ordered from Access Statistics for this article Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC. |
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