Structure and asymptotic theory for multivariate asymmetric conditional volatility
Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and finance. This article is concerned with market risk, and develops a constant conditional correlation vector ARMA–asymme...
| Main Authors: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
Taylor and Francis
2009
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/16633 |
| _version_ | 1848749232328015872 |
|---|---|
| author | Mcaleer, M. Hoti, S. Chan, Felix |
| author_facet | Mcaleer, M. Hoti, S. Chan, Felix |
| author_sort | Mcaleer, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and finance. This article is concerned with market risk, and develops a constant conditional correlation vector ARMA–asymmetric GARCH (VARMA–AGARCH) model, as an extension of the widely used univariate asymmetric (or threshold) GJR model of Glosten et al. (1992), and establishes its underlying structure, including the unique, strictly stationary, and ergodic solution of the model, its causal expansion, and convenient sufficient conditions for the existence of moments. Alternative empirically verifiable sufficient conditions for the consistency and asymptotic normality of the quasi-maximum likelihood estimator are established under non-normality of the standardized shocks. |
| first_indexed | 2025-11-14T07:17:40Z |
| format | Journal Article |
| id | curtin-20.500.11937-16633 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:17:40Z |
| publishDate | 2009 |
| publisher | Taylor and Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-166332017-09-13T15:42:22Z Structure and asymptotic theory for multivariate asymmetric conditional volatility Mcaleer, M. Hoti, S. Chan, Felix Asymmetric effects C52 Multivariate structure Regularity conditions C51 C32 Conditional volatility Asymptotic theory Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and finance. This article is concerned with market risk, and develops a constant conditional correlation vector ARMA–asymmetric GARCH (VARMA–AGARCH) model, as an extension of the widely used univariate asymmetric (or threshold) GJR model of Glosten et al. (1992), and establishes its underlying structure, including the unique, strictly stationary, and ergodic solution of the model, its causal expansion, and convenient sufficient conditions for the existence of moments. Alternative empirically verifiable sufficient conditions for the consistency and asymptotic normality of the quasi-maximum likelihood estimator are established under non-normality of the standardized shocks. 2009 Journal Article http://hdl.handle.net/20.500.11937/16633 10.1080/07474930802467217 Taylor and Francis restricted |
| spellingShingle | Asymmetric effects C52 Multivariate structure Regularity conditions C51 C32 Conditional volatility Asymptotic theory Mcaleer, M. Hoti, S. Chan, Felix Structure and asymptotic theory for multivariate asymmetric conditional volatility |
| title | Structure and asymptotic theory for multivariate asymmetric conditional volatility |
| title_full | Structure and asymptotic theory for multivariate asymmetric conditional volatility |
| title_fullStr | Structure and asymptotic theory for multivariate asymmetric conditional volatility |
| title_full_unstemmed | Structure and asymptotic theory for multivariate asymmetric conditional volatility |
| title_short | Structure and asymptotic theory for multivariate asymmetric conditional volatility |
| title_sort | structure and asymptotic theory for multivariate asymmetric conditional volatility |
| topic | Asymmetric effects C52 Multivariate structure Regularity conditions C51 C32 Conditional volatility Asymptotic theory |
| url | http://hdl.handle.net/20.500.11937/16633 |