Structural Models of Volatility
Type
applied research project
Start Date
01 March 2019
End Date
28 February 2022
URI
Status
ongoing
Keywords
MGARCH
structural identification
Description
As a weakness, multivariate GARCH modesl are rarely identified in a strict structural sense. This means that we only can derive statstical descriptions of the volatility transmission patterns with little insight regarding the underlying economics. The aim of this project is to propose new identification strategies and to empirically study their properities.
Leader contributor(s)
Member contributor(s)
Polivka, Jeannine
Partner(s)
Prof. Dr. Helmut Herwartz, Universität Göttingen
Funder(s)
Range
HSG + other universities
Range (De)
HSG + andere
Division(s)
Eprints ID
247770
Reference Number
176684

Filters

Reset filters

Settings
Now showing 1 - 3 of 3
No Thumbnail Available
Publication

Global estimation of realized spot volatility in the presence of price jumps

, Fengler, Matthias , Dare, Wale

View
No Thumbnail Available
Publication

Identifying structural shocks to volatility through a proxy-MGARCH model

, Polivka, Jeannine , Fengler, Matthias R.

We extend the classical MGARCH specification for volatility modeling by developing a structural MGARCH model targeting identification of shocks and volatility spillovers in a speculative return system. Similarly to the proxy-sVAR framework, we work with auxiliary proxy variables constructed from news-related measures to identify the underlying shock system. We achieve full identification with multiple proxies by chaining Givens rotations. In an empirical application, we identify an equity, bond and currency shock. We study the volatility spillovers implied by these labelled structural shocks. Our analysis shows that symmetric spillover regimes are rejected.

View
No Thumbnail Available
Publication

Global estimation of realized spot volatility in the presence of price jumps

2018 , Fengler, Matthias , Dare, Wale

View