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Conference of 2007
Finance Center Münster
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We develop a multivariate generalization of the Markov--switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth--moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection and computation of Value-at-Risk.
Abstract
Multivariate Regime-Switching GARCH with an Application to International Stock Markets
Haas, MarkusWe develop a multivariate generalization of the Markov--switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth--moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection and computation of Value-at-Risk.