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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 16-065/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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 asymptotic properties, 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.
Schlagwörter: 
Multivariate conditional volatility
Vector random coefficient autoregressive process
Asymmetry
Long memory
Exogenous variables
Dynamic conditional correlations
Regularity conditions
Asymptotic properties
JEL: 
C22
C52
C58
G32
Dokumentart: 
Working Paper
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