Measuring Conditional Dependence of Polish Financial Returns

• Autorzy: Ryszard Doman
• Języki publikacji: EN

Abstrakty

EN

In this paper we apply C-MGARCH methodology to model conditional dependency between pairs of selected Polish financial returns. We compare the dynamic conditional correlations estimated by means of C-DCC model belong-ing to the C-MGARCH class with those obtained with Engle's DCC model (Engle 2002). We also compare the 1-day ahead conditional correlation fore-casts calculated with DCC and C-DCC models. In addition, by using Euclidean matrix norm, we evaluated how the implied conditional covariance forecasts fit the matrices of cross products of actually realized daily returns. Our main find-ing is that the conditional correlations obtained with the applied C-DCC model (for all the considered pairs they are almost everywhere positive) are, in fact totally, much lower than the ones estimated with Engle's DCC model. As re-gards the point forecasts of matrices of cross products of daily returns, we find that DCC models are better in that task but, altogether, we find the results not very impressive.(fragment of text)

Słowa kluczowe

EN

Measures of dependence; Rate of return; GARCH model; Econometric modeling

PL

Miara zależności; Stopa zwrotu; Model GARCH; Modelowanie ekonometryczne

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 59--67

Twórcy

autor

Ryszard Doman

• Adam Mickiewicz University in Poznań, Poland

Bibliografia

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