A class of DCC asymmetric GARCH models driven by exogenous variables
Zakoïan, Jean-Michel (2010), A class of DCC asymmetric GARCH models driven by exogenous variables. https://basepub.dauphine.fr/handle/123456789/5529
TypeDocument de travail / Working paper
Series titleCahiers de la Chaire Finance et Développement Durable
MetadataShow full item record
Abstract (EN)This paper considers Dynamic Conditional Correlations (DCC) GARCH models in which the time-varying coefficients, including the conditional correlation matrix, are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of second-order moments of these solutions. Potential applications concern the modeling of the volatility of a vector of energy prices, the model coefficients depending on the weather conditions.
Subjects / KeywordsDynamic conditional correlation; Existence of nonexplosive solutions; Multi-variate GARCH; Nonstationary processes; Time-varying models
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Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José (2020) Document de travail / Working paper