A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Arbeitspapier

The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. The underlying vector random coefficient autoregressive process, which has well established regularity conditions and associated asymptotic properties, is discussed, and a simple explanation is given as to why only the diagonal BEKK model, and not the Hadamard, triangular or full BEKK models, has regularity conditions and asymptotic properties. Various special cases, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of McAleer et al. (2009), are discussed. There does not seem to have been a derivation of a univariate conditional volatility model with exogenous variables (X) that has dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model with exogenous variables (X) that has regularity conditions and asymptotic theory would seem to be a significant extension of the existing literature.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 16-065/III

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Evaluation, Validation, and Selection ; Financial Econometrics ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: Multivariate conditional volatility ; Vector random coefficient autoregressive process ; Asymmetry ; Long memory ; Exogenous variables ; Dynamic conditional correlations ; Regularity conditions ; Asymptotic properties

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Asai, Manabu ; McAleer, Michael
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/149469
• Last update: 10.03.2025, 11:43 AM CET