An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model

Vargas, Gregorio A. (2006): An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. Published in: The Philippine Statistician , Vol. 55, No. 1-2 (2006): pp. 83-102.

Abstract

The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative DCC models in out-of-sample forecasting of conditional correlation in the presence of asymmetric effect between blocks of asset returns. Empirical results demonstrate that the model is able to capture the asymmetries in conditional correlations of some blocks of currencies in East Asia in the turbulent years of the late 1990s.

• Item Type: MPRA Paper
• Additional Information: Citation format: Vargas, G.A. (2006), "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," The Philippine Statistician, 55 (1-2), 83-102.
• Language: English
• Keywords: asymmetric effect; block dynamic conditional correlation; multivariate GARCH
• Subjects: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models; Dynamic Quantile Regressions; G - Financial Economics > G1 - General Financial Markets > G10 - General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling

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