The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models

Enrique Sentana

Working Papers from Centro de Estudios Monetarios Y Financieros-

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 parameterizations 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 note is to make clear their similarities and differences by providing a formal nesting of the two models, which can be exploited to analyze their statistical features in a more general context. At the same time, their differences may be important in the interpretation of empirical results.

Keywords: ECONOMETRICS; MATHEMATICAL ANALYSIS; ECONOMETRIC MODELS (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: The relation between conditionally heteroskedastic factor models and factor GARCH models (1998)
Working Paper: The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models (1997)
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:fth:cemfdt:9719

Access Statistics for this paper

More papers in Working Papers from Centro de Estudios Monetarios Y Financieros- Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel (krichel@openlib.org).