Multivariate Regime-Switching GARCH with an Application to International Stock Markets
Posted: 20 Feb 2008
Date Written: February 2008
Abstract
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.
Keywords: Conditional Volatility, Markov-Switching, Multivariate GARCH
JEL Classification: C32, C51, G10, G11
Suggested Citation: Suggested Citation
Haas, Markus and Mittnik, Stefan, Multivariate Regime-Switching GARCH with an Application to International Stock Markets (February 2008). CFS Working Paper No. 2008/08, Available at SSRN: https://ssrn.com/abstract=1095786
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.