Titulo: "Identification of structural multivariate GARCH models"
The class of multivariate GARCH models is widely used to quantify and monitor volatility and correlation dynamics of nancial time series. While many specications have been proposed in the literature, these models are typically silent about the system inherent transmission of implied orthogonalized shocks to vector returns. In a framework of non-Gaussian independent structural shocks, this paper proposes a loss statistic, based on higher order co-moments, to discriminate in a data-driven way between alternative structural assumptions about the transmission scheme, and hence identify the structural model. Consistency of identication is shown theoretically and via a simulation study. In its structural form, a four dimensional system comprising US and Latin American stock market returns points to a substantial volatility transmission from the US to the Latin American markets. The identied structural model improves the estimation of classical measures of portfolio risk, as well as corresponding variations.
Fecha y hora: 14 de marzo de 2019 | 13:00 hrs
Lugar: Sala P302 (Diagonal Paraguay # 257, Santiago, Chile)
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