Darolles, Serges and Francq, Christian and Laurent, Sébastien (2018): Asymptotics of Cholesky GARCH models and timevarying conditional betas.

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Abstract
This paper proposes a new model with timevarying slope coefficients. Our model, called CHAR, is a CholeskyGARCH model, based on the Cholesky decomposition of the conditional variance matrix introduced by Pourahmadi (1999) in the context of longitudinal data. We derive stationarity and invertibility conditions and prove consistency and asymptotic normality of the Full and equationbyequation QML estimators of this model. We then show that this class of models is useful to estimate conditional betas and compare it to the approach proposed by Engle (2016). Finally, we use real data in a portfolio and risk management exercise. We find that the CHAR model outperforms a model with constant betas as well as the dynamic conditional beta model of Engle (2016).
Item Type:  MPRA Paper 

Original Title:  Asymptotics of Cholesky GARCH models and timevarying conditional betas 
Language:  English 
Keywords:  MultivariateGARCH; conditional betas; covariance 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics 
Item ID:  83988 
Depositing User:  Christian Francq 
Date Deposited:  22 Jan 2018 06:36 
Last Modified:  28 Sep 2019 02:47 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/83988 