Arbeitspapier
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance matrix relies on the score function of the joint likelihood function based on Gaussian and Wishart densities. The dynamic model is parsimonious while each innovation still impacts all elements of the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We illustrate the model with an empirical application to a portfolio of 15 U.S. financial assets.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 16-061/III
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Financial Econometrics
- Subject
-
high-frequency data
multivariate GARCH
multivariate volatility
realised covariance
score
Wishart density
- Event
-
Geistige Schöpfung
- (who)
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Hansen, Peter Reinhard
Janus, Pawel
Koopman, Siem Jan
- Event
-
Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hansen, Peter Reinhard
- Janus, Pawel
- Koopman, Siem Jan
- Tinbergen Institute
Time of origin
- 2016
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