Author : Changli He
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (834 download)
Book Synopsis An Extended Constant Conditional Correlation GARCH Model and Its Fourth-moment-structure by : Changli He
Download or read book An Extended Constant Conditional Correlation GARCH Model and Its Fourth-moment-structure written by Changli He and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first considered by Jeantheau (1998), is motivated by the result found and discussed in the paper that the squared observations from the extended model have a rich autocorrelation structure. This means that already the first-order model is capable of reproducing a whole variety of autocorrelation structures observed in financial return series. These autocorrelations are derived for the first and the second-order constant conditional correlation GARCH model. The usefulness of the theoretical results of the paper is demonstrated by reconsidering an empirical example that appeared in the original paper on the constant conditional correlation GARCH model. -- Autoregressive conditional heteroskedasticity ; moment structure of GARCH ; multivariate conditional heteroskedasticity ; volatility dynamics