Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25542
Authors: 
Haas, Markus
Mittnik, Stefan
Paolella, Marc S.
Year of Publication: 
2008
Series/Report no.: 
CFS Working Paper 2008/07
Abstract: 
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is shown that the disaggregation of the conditional (co)variance process generated by the model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out–of–sample Value-at-Risk measures.
Subjects: 
Conditional Volatility
Finite Normal Mixtures
Multivariate GARCH
Leverage Effect
JEL: 
C32
C51
G10
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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