Tri-variate VAR-MGARCH and volatility spillover ratios

Discussion on Practical Financial Econometrics
Forum rules
DISCLAIMER: We do not warrant or represent that this forum or its content is free of viruses, worms or other code that might be contaminating or destructive. We cannot guarantee that documents or files downloaded from the Site will be free from viruses and we do not accept any responsibility for any damage or loss caused by any virus. Accordingly, for your own protection, you must use virus-checking software when using the forum. You must not post or provide to us via the forum, any document or file which you believe may contain a virus. You must virus check any document or file which you intend to post or provide to us via the forum. You must ensure that any document or file you intend to post to the forum does not contravene any applicable laws or contravene any person's legal rights. We do not accept any responsibility for any damage or loss you may suffer.
bvguizar
Posts: 1
Joined: Wed Jan 07, 2015 6:01 pm

Tri-variate VAR-MGARCH and volatility spillover ratios

Postby bvguizar » Fri Jan 09, 2015 3:17 pm

Dear Professor Alexander,

I have read your book and is really good. I cannot thank you enough, I have finally understood what a GARCH is and what I can do. Unfortunately I am a little stuck with volatility spillovers.

I am using a tri-variate VAR-MGARCH for my PhD thesis in energy markets. I have so far obtained the residuals from my VAR using Microfit and I have put them in this same software in a hope I can get the necessary coefficients to estimate spillover ratios. However, I am confused on what parameters I need to calculate this since in Microfit I get a DCC model I obtain restricted volatility decay factors and unconditional volatility matrices.

I have read several papers that calculate spillover ratios but they use BEKK models but my supervisor mentioned that I need to (i) Use DCC for now; (ii) find out how to evaluate the time-varying volatility spillover either directly from DCC or via transformation to BEKK from DCC. I am not sure how to do the latter.

I have so far visited many forums in eviews and they all warn me about using DCC problems to calculate volatility spillovers because of diagonal specifications.

Could you please advise on a course of action?
Thank you
Blanca

Return to “Volume II”

Who is online

Users browsing this forum: No registered users and 1 guest