Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility

• Autorzy: Jacek Osiewalski , Anna Pajor
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to examine the empirical usefulness of two new MSF - Scalar BEKK(1,1) models of n-variate volatility. These models formally belong to the MSV class, but in fact are some hybrids of the simplest MGARCH and MSV specifications. Such hybrid structures have been proposed as feasible (yet non-trivial) tools for analyzing highly dimensional financial data (large n). This research shows Bayesian model comparison for two data sets with n = 2, since in bivariate cases we can obtain Bayes factors against many (even unparsimonious) MGARCH and MSV specifications. Also, for bivariate data, approximate posterior results (based on preliminary estimates of nuisance matrix parameters) are compared to the exact ones in both MSF-SBEKK models. Finally, approximate results are obtained for a large set of returns on equities (n = 34). (original abstract)

Słowa kluczowe

EN

Econometric analysis; Bayesian econometric; Bayesian models; Bayes factor

PL

Analiza ekonometryczna; Ekonometria bayesowska; Modele bayesowskie; Czynnik Bayesa

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2009
• Tom: 1
• Numer: nr 2
• Strony: 179--202

Twórcy

autor

Jacek Osiewalski

• Cracow University of Economics, Poland

autor

Anna Pajor

• Cracow University of Economics, Poland

Bibliografia

• [1] Bauwens L., Laurent S., Rombouts J.V.K., (2006), Multivariate GARCH models: A survey, Journal of Applied Econometrics 21, 79-109.
• [2] Chib S., Nardari F., Shephard N., (2006), Analysis of high dimensional multivariate stochastic volatility models, Journal of Econometrics 134, 341-371.
• [3] Chan D., Kohn R., Kirby Ch., (2006), Multivariate Stochastic Volatility models with correlated errors, Econometric Review 25, 245-274.
• [4] Engle R., (2002), Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics 20, 339-350.
• [5] Fleming J., Kirby Ch., (2003), A closer look at the relation between GARCH and stochastic autoregressive volatility, Journal of Financial Econometrics 1, 365-419.
• [6] Jacquier E., Polson N., Rossi P., (1995), Models and prior distributions for multivariate stochastic volatility, technical report, University of Chicago, Graduate School of Business.
• [7] Osiewalski J., (2009), New hybrid models of multivariate volatility (a Bayesian perspective), Przeglad Statystyczny (Statistical Review) 56 (no.1), 15-22.
• [8] Osiewalski J., Pajor A., (2007), Flexibility and parsimony in multivariate financial modelling: a hybrid bivariate DCC-SV model, [in:] Financial Markets. Principles of Modeling, Forecasting and Decision-Making (FindEcon Monograph Series No.3), [ed.:] W. Milo, P. Wdowinski, Łódz University Press, Łódz, 11-26.
• [9] Osiewalski J., Pajor A., Pipien M., (2007), Bayesian comparison of bivariate GARCH, SV and hybrid models, [in:] Proceedings of the 33rd International Conference, MACROMODELS'2006, [ed.:] W. Welfe, A. Welfe, Łódz, 247-277.
• [10] Osiewalski J., Pipien M., (2004), Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland, Journal of Econometrics 123, 371- 391.
• [11] Pajor A., (2005a), Bayesian analysis of stochastic volatility model and portfolio allocation, Acta Universitatis Lodziensis - Folia Oeconomica 192, 229-249.
• [12] Pajor A., (2005b), Bayesian comparison of bivariate SV models for two related time series, Acta Universitatis Lodziensis - Folia Oeconomica 190, 177-196.
• [13] Pajor A., (2009), Wielowymiarowe procesy wariancji stochastycznej w ekonometrii finansowej. Ujecie bayesowskie (Multivariate Stochastic Variance Processes in Financial Econometrics. Bayesian approach, in Polish) Cracow University of Economics, Kraków (forthcoming).
• [14] Shephard N., Pitt M.K., (1997), Likelihood analysis of non-Gaussian measurement time series, Biometrika 84, 653-667.
• [15] Smith M., Pitts A., (2006), Foreign exchange intervention by the Bank of Japan: Bayesian analysis using a bivariate Stochastic Volatility model, Econometric Review 25, 425-451.
• [16] Tsay R.S., (2005), Analysis of Financial Time Series (2nd edition), Wiley, New York.

Identyfikatory

DOI

DOI:10.24425/cejeme.2009.12230