Efficient estimation of a multivariate multiplicative volatility model

Christian Hafner and Oliver Linton

Post-Print from HAL

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

Keywords: C12; C13; C14; GARCH; Kernel estimation; Local stationarity; Semiparametric (search for similar items in EconPapers)
Date: 2010-09-15
Note: View the original document on HAL open archive server: https://hal.science/hal-00732539
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

Published in Econometrics, 2010, 159 (1), pp.55. ⟨10.1016/j.jeconom.2010.04.007⟩

Downloads: (external link)
https://hal.science/hal-00732539/document (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 (2009)
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:hal:journl:hal-00732539

DOI: 10.1016/j.jeconom.2010.04.007

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().