Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/177695
Authors: 
Asai, Manabu
McAleer, Michael
Year of Publication: 
2018
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2018-005/III
Abstract: 
The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric function to develop news impact curves. We consider Bayesian MCMC estimation to allow non-normal posterior distributions. For three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The empirical results indicate that the realized MEGARCH models outperform the other models regarding in-sample and out-of-sample performance. The news impact curves based on the posterior densities provide reasonable results.
Subjects: 
Multivariate
GARCH
Realized
Measures
Matrix-Exponential
Bayesian
Markov
Chain
Monte
Carlo
method
Asymmetry
JEL: 
C11
C32
Document Type: 
Working Paper
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