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Polasek Polasek, Ren Ren (2001)
Volatility Analysis during the Asia Crisis: A Multivariate GARCH‐M Model for Stock Returns in the US, Germany and JapanApplied Stochastic Models in Business and Industry, 17
We propose a multivariate time series model to forecast the returns and volatilities of 15 European financial markets. Using the approach of mean‐variance portfolios we develop several strategies which are based on the predictions of high‐dimensional VAR‐GARCH models for future volatilities. We explore the value of volatility timing strategies by simplifying the forecasting model. One approach for information blocking is based on factor analysis for the returns. Finally we discuss if multivariate volatility timing strategies are successful for beating the benchmark index (the MSCI Europe index). Copyright © 2004 John Wiley & Sons, Ltd.
Applied Stochastic Models in Business and Industry – Wiley
Published: Jul 1, 2004
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