Unobserved component models with asymmetric conditional variances.

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dc.contributor.author Broto, Carmen
dc.contributor.author Ruiz Ortega, Esther
dc.contributor.editor Universidad Carlos III de Madrid
dc.date.accessioned 2006-11-09T10:49:56Z
dc.date.available 2006-11-09T10:49:56Z
dc.date.issued 2003-11
dc.identifier.uri http://hdl.handle.net/10016/191
dc.description.abstract In this paper, unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models. The proposed model allows to distinguish whether the possibly asymmetric conditional heteroscedasticity affects the short run or the long-run disturbances or both. We analyse the statistical properties of the new model and derive the asymptotic and finite sample properties of a QML estimator of the parameters. We propose to identify the conditional heteroscedasticity using the correlogram of the squared auxiliary residuals. Its finite sample properties are also analysed. Finally, we ilustrate the results fitting the model to represent the dynamic evolution of daily series of financial returns and gold prices, as well as of monthly series of inflation. The behaviour of volatility in both types of series is different. The conditional heteroscedasticity mainly affects the short run component in financial returns while in the inflation series, the heteroscedastic ity appears in the long-run component. We find asymmetric effects in both types of variables.
dc.format.extent 1630303 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 2003-03
dc.relation.hasversion http://hdl.handle.net/10016/5042
dc.title Unobserved component models with asymmetric conditional variances.
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws032003
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