Efficient Estimation of a Multivariate Multiplicative Volatility Model

Christian Hafner and Oliver Linton

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We propose a multivariate generalization of the multiplicative volatility model ofEngle and Rangel (2008), which has a nonparametric long run component and aunit multivariate GARCH short run dynamic component. We suggest variouskernel-based estimation procedures for the parametric and nonparametriccomponents, and derive the asymptotic properties thereof. For the parametric partof the model, we obtain the semiparametric efficiency bound. Our method isapplied to a bivariate stock index series. We find that the univariate model of Engleand Rangel (2008) appears to be violated in the data whereas our multivariatemodel is more consistent with the data.

Keywords: GARCH; Kernel Estimation; Local Stationarity; Semiparametric (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
Date: 2009-10
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://sticerd.lse.ac.uk/dps/em/em541.pdf (application/pdf)

Related works:
Journal Article: Efficient estimation of a multivariate multiplicative volatility model (2010)
Working Paper: Efficient estimation of a multivariate multiplicative volatility model (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:541

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().