Unobserved component models with asymmetric conditional variances

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Show simple item record Broto, Carmen Ruiz, Esther 2009-09-02T11:29:20Z 2009-09-02T11:29:20Z 2006-05-01
dc.identifier.bibliographicCitation Computational Statistics & Data Analysis, 2006, vol. 50, n. 9, p. 2146-2166
dc.identifier.issn 0167-9473
dc.description.abstract 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. Statistical properties of the new model and the finite sample properties of a QML estimator of the parameters are analyzed. The correlogram of squared auxiliary residuals is shown to be useful to identify the conditional heteroscedasticity. Finite sample properties of squared auxiliary residuals are also analysed. Finally, the results are illustrated by fitting the model to daily series of financial and gold prices, as well as to monthly series of inflation. The behavior of volatility in both types of series is different. The conditional heteroscedasticity mainly affects the short-run component in financial prices while in the inflation series, the heteroscedasticity appears in the long-run component. Asymmetric effects are found in both types of variables.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©Elsevier
dc.subject.other Auxiliary residuals
dc.subject.other Financial series
dc.subject.other GARCH
dc.subject.other Inflation
dc.subject.other Leverage effect
dc.subject.other QARCH
dc.subject.other Structural time series models
dc.title Unobserved component models with asymmetric conditional variances
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Estadística
dc.identifier.doi 10.1016/j.csda.2004.12.009
dc.rights.accessRights openAccess
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