A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation
Eunju Hwang and
Economics Letters, 2021, vol. 203, issue C
This work considers a multivariate heterogeneous autoregressive-realized volatility (HAR-RV) model in the presence of heteroscedasticity and aims to analyze realized volatilities of multiple assets that possess non-standard features, such as non-Gaussianity, time varying volatility and long-memory dependence. For capturing the long-memory, a HAR-RV model is employed, while for a heavy-tailed distribution, a GARCH process is adopted on the noise term. To estimate coefficients of the HAR-RV-GARCH model, we suggest weighted least squares estimator (WLSE) based on an observed weighting scheme and prove its asymptotic normality. Simulation results show a good performance on the WLSE. The multivariate HAR-RV-GARCH model fitted by the WLSE is illustrated with an application to realized volatilities of multiple financial data.
Keywords: Multivariate HAR-RV model; GARCH(1,1) model; Weighted least squares estimation; Asymptotic normality (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001324
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