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Re: Garch and multivariate garch
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Re: Garch and multivariate garch
by michal miklovic
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Hi,
I am quite familiar with univariate garch models but, unfortunately, not an expert on multivariate garch models. However, I would recommend that you have a look at this paper: Bauwens, Laurent, Rombouts (2006): Multivariate garch models: a survey, J. of applied econometrics 21, pp. 79 - 109. Chapter 3 in the following book provides a highly readable and not very technical description of the dynamic conditional correlation multivariate garch model of Engle (2002), which has been implemented in several statistical software packages but I am not not aware of an implementation in R. Christoffersen (2003): Elements of financial risk management, Academic Press The Engle reference is: Engle (2002): Dynamic conditional correlation - a simple class of multivariate garch models, J. of business and economic statistics 20, pp. 339 - 350. Hope this helps. Best regards, Michal ----- Original Message ---- From: Matthieu Boyer <matthieudm.boyer@...> To: r-sig-finance@... Sent: Sunday, March 30, 2008 12:40:40 PM Subject: [R-SIG-Finance] Garch and multivariate garch Hello everybody, I know that there is a lot of messages regarding this topic but it starts becoming a wonderful mess! I just wanted to know if I can chat some day with somebody who knows garch models and more particularly multivariate garch model. I'm a student and I'm working with a big insurance company on volatility estimation and the next step is to work on correlation. I've already done some research on the web and I've found 2 methods: -first, use a little trick with an univariate garch ( http://www.burns-stat.com/pages/Working/multgarchuni.pdf) -the second method consists in using mgarchbekk package. As the whole theory about garch is quite recent, I don't have any hindsight on it! I hope that someone will help me! Have a good day everybody! Matt [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@... mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. __________________________________________________ [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@... mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. |
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Re: Garch and multivariate garch
by Eric Zivot
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The Bauwens survey paper in the Journal of Applied Econometrics is very good, but it lacks any practical examples of actually estimating multivariate garch models. In fact, I don't know of any survey paper that discusses the real life practical issues of estimating multivariate garch models. A good intuitive guide to forecasting correlation is in Carol alexander's book Market Models. Unfortunately, she spends a lot of time plugging her orthogonal garch model which is rather problematic in practice. A big problem in assessing the accuracy of estimating something like a conditional correlation is that the "true" time varying correlation is not observable so that the output of a multivariate garch model cannot be compared to an "actual" correlation to assess forecasting accuracy. One can try to follow Andersen and Bollerslev and try to compare a garch correlation forecast to a realized correlation
computed from high frequency data. However, this is also fraught with problems as it is not clear how one is supposed to compute realized correlation. I have a paper under preparation that looks at evaluating multivariate garch models using realized correlation. Unfortunately, none of the typical multivariate garch models work very well - especially the dynamic conditional correlation model of Engle. This is often the worst model! I have a reference list of some empirical multivariate garch papers and I'll post some references later this week. **************************************************************** * Eric Zivot * * Professor and Gary Waterman Distinguished Scholar * * Department of Economics * * Box 353330 email: ezivot@... * * University of Washington phone: 206-543-6715 * * Seattle, WA 98195-3330 * * * www: http://faculty.washington.edu/ezivot * **************************************************************** On Sun, 13 Apr 2008, michal miklovic wrote: > Hi, > > I am quite familiar with univariate garch models but, unfortunately, not an expert on multivariate garch models. However, I would recommend that you have a look at this paper: > Bauwens, Laurent, Rombouts (2006): Multivariate garch models: a survey, J. of applied econometrics 21, pp. 79 - 109. > Chapter 3 in the following book provides a highly readable and not very technical description of the dynamic conditional correlation multivariate garch model of Engle (2002), which has been implemented in several statistical software packages but I am not not aware of an implementation in R. > Christoffersen (2003): Elements of financial risk management, Academic Press > > The Engle reference is: > Engle (2002): Dynamic conditional correlation - a simple class of multivariate garch models, J. of business and economic statistics 20, pp. 339 - 350. > > Hope this helps. > > Best regards, > > Michal > > > > ----- Original Message ---- > From: Matthieu Boyer <matthieudm.boyer@...> > To: r-sig-finance@... > Sent: Sunday, March 30, 2008 12:40:40 PM > Subject: [R-SIG-Finance] Garch and multivariate garch > > Hello everybody, > I know that there is a lot of messages regarding this topic but it starts > becoming a wonderful mess! > I just wanted to know if I can chat some day with somebody who knows garch > models and more particularly multivariate garch model. > I'm a student and I'm working with a big insurance company on volatility > estimation and the next step is to work on correlation. > I've already done some research on the web and I've found 2 methods: > -first, use a little trick with an univariate garch ( > http://www.burns-stat.com/pages/Working/multgarchuni.pdf) > -the second method consists in using mgarchbekk package. > As the whole theory about garch is quite recent, I don't have any hindsight > on it! > > I hope that someone will help me! > Have a good day everybody! > Matt > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@... mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > > > > > > __________________________________________________ > > > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@... mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > _______________________________________________ R-SIG-Finance@... mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. |
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