CCC MGARCH模型采用单变量GARCH模型的非线性组合,其中交叉方程权值是非时变的,以此来对扰动的条件协方差矩阵进行建模。 正如在[TS] mgarch中所讨论的,mgarch模型对于扰动的时变条件协方差矩阵的规范的简洁性和灵活性是不同的,用来表示。在MGARCH模型的条件相关族中,的对角线元素被建模为单变量GARCH模型,而非对角...
虽然条件相关结构在DCC MGARCH和VCC MGARCH模型中提供了简洁和灵活性之间的有益权衡,但在CCC MGARCH模型中使用的非时变参数化通常被认为对许多应用场景来说约束太多;参见Silvennoinen 和Ter¨asvirta(2009)。CCC MGARCH基线估计数经常与DCC MGARCH和VCC MGARCH估计数进行比较。 -技术注解(Technical note) 形式...
(2012). Time-varying correlations in oil, gas and CO2 prices: An application using BEKK, CCC and DCC- MAGARCH models. Appl. Eco., 44, 4257-4274.Chevallier, J. Time-varying correlations in oil, gas and CO2 prices: An application using BEKK, CCC and DCC-MGARCH models. Appl. Econ. ...
虽然条件相关结构在DCC MGARCH和VCC MGARCH模型中提供了简洁和灵活性之间的有益权衡,但在CCC MGARCH模型中使用的非时变参数化通常被认为对许多应用场景来说约束太多;参见Silvennoinen 和Ter¨asvirta(2009)。CCC MGARCH基线估计数经常与DCC MGARCH和VCC MGARCH估计数进行比较。 技术注解(Technical note) 形式上...
Model conditional correlations were modeled via the Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) model in the paper, followed by the analysis of volatility spillovers between sub-segments. Firstly, a Student's t distribution based BEKK (Baba, Engle, Kraft and Kroner) ...
Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC and DCC-MGARCH models - Chevallier - 2012Chevallier, J. Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC and DCC-MGARCH models. Applied Economics 2012; 44(32), 4257...
mgarch ccc估计了常数条件相关(ccc)多元广义自回归条件异方差模型(MGARCH)的参数,其中条件方差被建模为单变量广义自回归条件异方差模型(GARCH),条件协方差被建模为条件方差的非线性函数。在ccc mgarch模型中,加权条件方差的非线性组合的条件相关参数是常数。
mgarch ccc估计了常数条件相关(ccc)多元广义自回归条件异方差模型(MGARCH)的参数,其中条件方差被建模为单变量广义自回归条件异方差模型(GARCH),条件协方差被建模为条件方差的非线性函数。在cccmgarch模型中,加权条件方差的非线性组合的条件相关参数是常数。