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| Author: | Kroner, K. F. Ng, V. K. |
| Title: | Modeling asymmetric comovements of asset returns |
| Journal: | Review of Financial Studies
1998 : WINTER, VOL. 11:4, p. 817-844 |
| Index terms: | MULTIVARIATE ANALYSIS VOLATILITY ASSETS COMPANIES RETURN ON INVESTMENT |
| Language: | eng |
| Abstract: | Existing time-varying covariance models impose strong restrictions on how past shocks affect the forecasted covariance matrix. This paper compares the restrictions imposed by the four most popular multivariate GARCH models and introduce a set of robust conditional moment tests to detect misspecification. The choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices. Therefore a general model is introduced which nests these four models and their natural asymmetric extensions. |
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