多元时变GARCH模型中正定相关矩阵常数的一个简明检验

IF 1.1 Q3 ECONOMICS

Econometrics Pub Date : 2022-08-24 DOI:10.3390/econometrics10030030

Jian Kang, J. Jakobsen, Annastiina Silvennoinen, T. Teräsvirta, Glen Wade

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引用次数: 5

摘要

我们构造了多元条件相关GARCH模型中相关矩阵恒定性的简约检验，其中GARCH方程是时变的。恒常性的另一种选择是相关性作为时间的函数而发生决定性的变化。另一种选择是协方差矩阵，而不是相关矩阵，因此该测试可以被视为常数相关矩阵稳定性的一般测试。通过仿真研究了有限样本中测试的大小。以道琼斯股票指数中26只股票的日收益率为例进行了实证分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by simulation. An empirical example involving daily returns of 26 stocks included in the Dow Jones stock index is given.

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来源期刊

Econometrics Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

2.40

自引率

20.00%

发文量

审稿时长

11 weeks