Asymptotics of Cholesky GARCH models and time-varying conditional betas

Serge Darolles, Christian Francq and Sébastien Laurent ()
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Sébastien Laurent: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: The class of Cholesky-GARCH models, based on the Cholesky decomposition conditional variance matrix, are studied. We first consider the onestep and multi-step QML estimators. We prove the consistency and the asymptotic normality of the two estimators and derive the correspondingstationarity conditions. We then show that this class of models is useful to estimate conditional betas and compare it to other approaches proposedin the financial literature. Finally, we use real data to show that our model performs very well compared to other multivariate GARCH models.

Date: 2016-12
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Published in 10th International Conference on Computational and Financial Econometrics (CFE) 2016), Dec 2016, Seville, Spain

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Related works:
Journal Article: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
Working Paper: Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (2018)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
Working Paper: Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (2018)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2017)
Working Paper: Asymptotics of Cholesky GARCH models and time-varying conditional betas (2017)
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