Analiza zmienności indeksów branżowych GPW w Warszawie przy zastosowaniu modelu GARCH BEKK
نویسندگان
چکیده
منابع مشابه
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...
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متن کاملDo We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author. for financial support. This is an abridged and revised version of a paper entitled " Do we really need both BEKK and DCC? A tal...
متن کاملOn the Relation Between the vec and BEKK Multivariate GARCH Models
The question which multivariate GARCH models in the vec form are representable in the BEKK form is addressed. Using results from linear algebra, it is established that all vec models not representable in the simplest BEKK form contain matrices as parameters which map the vectorised positive semi-definite matrices into a strict subset of themselves. Moreover, a general result from linear algebra...
متن کاملBayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov chain. However, its performance can deteriorate sharply with the degree of irregularity of the underlyi...
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ژورنال
عنوان ژورنال: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
سال: 2014
ISSN: 1899-3192,2392-0041
DOI: 10.15611/pn.2014.365.06