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

DOI

10.2991/icefs-17.2017.1How to use a DOI?

Keywords

Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Exogenous variables, Dynamic conditional correlations, Regularity conditions, Asymptotic properties.

Abstract

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 asymptoticÿproperties, 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.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Manabu Asai
AU  - Michael McAleer
PY  - 2017/01
DA  - 2017/01
TI  - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
BT  - Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
PB  - Atlantis Press
SP  - 1
EP  - 7
SN  - 2352-5428
UR  - https://doi.org/10.2991/icefs-17.2017.1
DO  - 10.2991/icefs-17.2017.1
ID  - Asai2017/01
ER  -