Arbeitspapier
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose is to combine the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets can be very large. We contribute to this strand of the literature by proposing a block-type parameterization for multivariate stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value-at-Risk thresholds based on one-step-ahead forecasts of covariances by the new specification are satisfactory for the period including the Global Financial Crisis.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 13-073/III
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Econometric and Statistical Methods and Methodology: General
- Subject
-
block structures
multivariate stochastic volatility
curse of dimensionality
leverage effects
multi-factors
heavy-tailed distribution
Kapitaleinkommen
Risikomaß
Prognoseverfahren
Volatilität
Stochastischer Prozess
Statistische Verteilung
Schätzung
USA
- Event
-
Geistige Schöpfung
- (who)
-
Asai, Manabu
Caporin, Massimiliano
McAleer, Michael
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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
- Asai, Manabu
- Caporin, Massimiliano
- McAleer, Michael
- Tinbergen Institute
Time of origin
- 2013