Bauwens and Laurent(2005)
Posted: Tue Aug 13, 2019 8:59 am
bauwens_laurent_jbes2005.zip has replication files for Bauwens and Laurent(2005), "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," JBES, vol 23, 346-354. This estimates a multivariate GARCH model, introducing the multivariate skew-t density.
These both do "one-step" DCC, which means that the univariate models are estimated simultaneously with the DCC parameters. It's only 3 series in each model; the two-step procedure of estimating the univariate GARCH models separately and estimating the DCC parameters on the standardized residuals is less efficient (statistically) but is much faster when the number of series is large.
The stock prices example uses an asymmetrical univariate GARCH model while the exchange rate example uses a symmetrical one. Other than that, they are almost identical.
This is covered in detail as part of the ARCH/GARCH and Volatility Models course.
The main programs are for use with RATS 9.2 or later, as they use the DENSITY option added to GARCH with that version. The _v8.rpf files will work with older versions of RATS, but if you are interested in this, you really should get the newer version of RATS, as it's much, much, simpler.
These both do "one-step" DCC, which means that the univariate models are estimated simultaneously with the DCC parameters. It's only 3 series in each model; the two-step procedure of estimating the univariate GARCH models separately and estimating the DCC parameters on the standardized residuals is less efficient (statistically) but is much faster when the number of series is large.
The stock prices example uses an asymmetrical univariate GARCH model while the exchange rate example uses a symmetrical one. Other than that, they are almost identical.
This is covered in detail as part of the ARCH/GARCH and Volatility Models course.
The main programs are for use with RATS 9.2 or later, as they use the DENSITY option added to GARCH with that version. The _v8.rpf files will work with older versions of RATS, but if you are interested in this, you really should get the newer version of RATS, as it's much, much, simpler.