Multivariate regime–switching GARCH with an application to international stock markets

  • We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value–at–Risk.

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Metadaten
Author:Markus HaasGND, Stefan MittnikORCiDGND
URN:urn:nbn:de:hebis:30-53250
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,08
Series (Serial Number):CFS working paper series (2008, 08)
Document Type:Working Paper
Language:English
Year of Completion:2008
Year of first Publication:2008
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2008/03/03
Tag:Conditional Volatility; Markov–Switching; Multivariate GARCH
Issue:Version January 2008
Page Number:48
HeBIS-PPN:195436113
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation
Licence (German):License LogoDeutsches Urheberrecht