通过变异贝叶斯推理建立异步多变量金融时间序列的修正 VAR-deGARCH 模型

IF 6.9 2区经济学 Q1 ECONOMICS

International Journal of Forecasting Pub Date : 2024-06-21 DOI:10.1016/j.ijforecast.2024.06.002

Wei-Ting Lai , Ray-Bing Chen , Shih-Feng Huang

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引用次数: 0

摘要

本研究提出了一种改进的 VAR-deGARCH 模型，称为 M-VAR-deGARCH，用于对具有 GARCH 效应的异步多变量金融时间序列建模，并同时考虑最新的市场信息。我们为 M-VAR-deGARCH 模型开发了一种变异贝叶斯（VB）程序，用于推断结构选择和参数估计。我们进行了大量的模拟和实证研究，以评估 M-VAR-deGARCH 模型的拟合和预测性能。模拟结果表明，建议的 VB 程序具有令人满意的选择性能。此外，我们的实证研究发现，亚洲的最新市场信息可以为预测欧洲和南非的市场趋势提供有用信息，尤其是在重大事件发生时。

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A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference

This study proposes a modified VAR-deGARCH model, denoted by M-VAR-deGARCH, for modeling asynchronous multivariate financial time series with GARCH effects and simultaneously accommodating the latest market information. A variational Bayesian (VB) procedure is developed for the M-VAR-deGARCH model to infer structure selection and parameter estimation. We conduct extensive simulations and empirical studies to evaluate the fitting and forecasting performance of the M-VAR-deGARCH model. The simulation results reveal that the proposed VB procedure produces satisfactory selection performance. In addition, our empirical studies find that the latest market information in Asia can provide helpful information to predict market trends in Europe and South Africa, especially when momentous events occur.

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来源期刊

International Journal of Forecasting Multiple-

CiteScore

17.10

自引率

11.40%

发文量

189

审稿时长

77 days

期刊介绍： The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.