Physical Sciences and Mathematics Commons^™

Modelling The Common Risk Among Equities Using A New Time Series Model, Jingjia Chu

Electronic Thesis and Dissertation Repository

A new additive structure of multivariate GARCH model is proposed where the dynamic changes of the conditional correlation between the stocks are aggregated by the common risk term. The observable sequence is divided into two parts, a common risk term and an individual risk term, both following a GARCH type structure. The conditional volatility of each stock will be the sum of these two conditional variance terms. All the conditional volatility of the stock can shoot up together because a sudden peak of the common volatility is a sign of the system shock.

We provide sufficient conditions for strict stationarity …

Asymptotic Theory For Garch-In-Mean Models, Weiwei Liu

Electronic Thesis and Dissertation Repository

The GARCH-in-mean process is an important extension of the standard GARCH (generalized autoregressive conditional heteroscedastic) process and it has wide applications in economics and finance. The parameter estimation of GARCH type models usually involves the quasi-maximum likelihood (QML) technique as it produces consistent and asymptotically Gaussian distributed estimators under certain regularity conditions. For a pure GARCH model, such conditions were already found with asymptotic properties of its QML estimator well understood. However, when it comes to GARCH-in-mean models those properties are still largely unknown. The focus of this work is to establish a set of conditions under which the QML …