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Variance (Non) Causality in Multivariate GARCH.
- Source :
-
Econometric Reviews . 2007, Vol. 26 Issue 1, p1-24. 24p. 3 Charts. - Publication Year :
- 2007
-
Abstract
- This paper extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Furthermore, this paper presents a new multivariate model, the exponential causality GARCH. By the introduction of a multiplicative causality impact function, the variance causality effects becomes directly interpretable and can therefore be used to detect both the existence of causality and its direction; notably, the proposed model allows for increasing and decreasing variance effects. An empirical application evidences negative causality effects between returns and volume of an Italian stock market index future contract. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 07474938
- Volume :
- 26
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Econometric Reviews
- Publication Type :
- Academic Journal
- Accession number :
- 24155858
- Full Text :
- https://doi.org/10.1080/07474930600972178