Seminario académico de Finanzas y Contabilidad

14 de marzo, 13:00 horas, Sala P302, Facultad de Economía y Negocios

Título: Identication of structural multivariate GARCH models

Expositor: Helmut Herwartz, profesor de Econometría Financiera en la Universidad de Gottingen, Alemania

Abstract

The class of multivariate GARCH models is widely used to quantify and monitorvolatility 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 theoreticallyand via a simulation study. In its structural form, a four dimensional systemcomprising US and Latin American stock market returns points to a substantialvolatility transmission from the US to the Latin American markets. The identiedstructural model improves the estimation of classical measures of portfolio risk, as well as corresponding variations.