Constrained nonlinear programming for volatility estimation with GARCH models

SIAM Review

Volumn 45, Issue 3, 2003, Pages 485-503

  Altay Salih, Aslihan ^a   Pinar, Mustafa C ^a   Leyffer, Sven ^b  

^a BILKENT UNIVERSITY   (Turkey)

^b ARGONNE NATIONAL LABORATORY   (United States)

Author keywords

Constrained nonlinear programming; Maximum likelihood estimation; Multivariate GARCH; Time series econometrics; Volatility estimation

Indexed keywords

COMPUTER SIMULATION; CONSTRAINT THEORY; ECONOMICS; FINANCE; MAXIMUM LIKELIHOOD ESTIMATION; OPTIMIZATION; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; CAPITAL ASSET PRICING MODEL; CONSTRAINED NONLINEAR PROGRAMMING; ECONOMETRICS; HETEROSKEDASTICITY; TIME SERIES ECONOMETRICS; VOLATILITY ESTIMATION;

NONLINEAR PROGRAMMING;

EID: 0242415484     PISSN: 00361445     EISSN: None     Source Type: Journal    
DOI: 10.1137/S003614450140011     Document Type: Article

References (31)

1. Y. Baba, R.F. Engle, D. Kraft, and K.F. Kroner (1989), Multivariate Simultaneous Generalized ARCH, manuscript, Department of Economics, University of California at San Diego.
2. A.K. Bera and S. Kim (1996), Testing Constancy of Correlation with an Application to International Equity Returns, Center for International Business Education and Research, working paper 96-107, University of Illinois, Urbana-Champaign.
3. T. Bollerslev (1986), Generalized autoregressive conditional heteroskedasticity, J. Econometrics, 31, pp. 307-327.
4. T. Bollerslev (1990), Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach, Rev. Econ. and Stat., 72, pp. 498-505.
5. T. Bollerslev, R. F. Engle, and J. Wooldridge (1988), A capital asset pricing model with time varying covariances, J. Polit. Econ., 96, pp.116-131.
6. J. Conrad, M. Gültekin, and G. Kaul (199). Asymmetric predictability of conditional variances, Rev. Financ. Stud., 4, pp. 597-622.
7. J. Cyzik, M. Mesnier, and J. Moré (1998), The NEOS server, IEEE Comput. Sci. Engrg., 5, pp. 68-75.
8. J.-J. Droesbeke, B. Fichet, and Ph. Tassi, eds. (1994), Modélisation ARCH: Théorie statistique et applications dans le domaine de la finance, Editions de L'Université de Bruxelles.
9. R.F. Engle, (1982), Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica, 50, pp. 987-1008.
10. R.F. Engle (1987), Multivariate GARCH with Factor Structures-Cointegration in Variance, manuscript, Department of Economics, University of California at San Diego.
11. R.F. Engle, V. Ng, and M. Rothschild (1990), Asset pricing with a factor ARCH covariance structure: Empirical estimates for treasury bills, J. Economet., 45, pp. 213-238.
12. R.F. Engle and K.F. Kroner (1995), Multivariate simultaneous GARCH, Economet. Theor., 11, pp. 122-150.
13. E.F. Fama (1965), The behavior of stock market prices, J. Bus., 38, pp. 34-105.
14. R. Fletcher and S. Leyffer (1998), User manual for FILTER/SQP, University of Dundee Numerical Analysis Report NA-181, Dundee, Scotland.
15. R. Fourer, D. Gay, and B. Kernighan (1993), AMPL: A modeling language for mathematical programming, Duxbury Press, Belmont, CA.
16. J.F. Geweke and R. Meese (1981), Estimating regression models of finite but unknown order, Int. Econ. Rev., 22, pp. 55-70.
17. P. Gill, W. Murray, and M. Saunders (1997), User's guide for SNOPT, ftp://sdna3.ucsd.edu/pub/peg/reports/sndoc.ps.Z.
18. A. Giuovannini and P. Jorion (1989), The time variation of risk and return in the foreign exchange and stock market, J. Financ., 44, pp. 307-325.
19. C. Gourieroux (1997), ARCH Models and Financial Applications, Springer Ser. Statist., Springer-Verlag, New York.
20. J.D. Hamilton (1987), Time Series Analysis, Princeton University Press, Princeton, NJ.
21. G.A. Karolyi (1995), A multivariate GARCH model of international transmissions of stock returns and volatility: The case of United States and Canada, J. Bus. Econ. Stat., 13, pp. 11-25.
22. D.F. Kraft and R.F. Engle (1982), Autoregressive Conditional Heteroskedasticity in Multiple Time Series, manuscript, Department of Economics, University of California at San Diego.
23. K. F. Kroner and S. Claesens (1991), Optimal dynamic hedging portfolios and the currency composition of external debt, J. Int. Money Financ., 10, pp. 131-148.
24. K.F. Kroner and J. Sultan (1993), Time varying distribution and dynamic hedging with foreign currency futures, J. Financ. Quant. Anal., 28, pp. 535-551.
25. D. Lien and X. Luo (1994), Multi-period hedging in the presence of conditional heteroskedasticity, J. Futures Markets, 14, pp. 927-955.
26. B. Mandelbrot (1963), The variation of certain speculative prices, J. Bus., 36, pp. 394-419.
27. V. Ng, R. F. Engle, and M. Rothschild (1991), A multi dynamic factor model for stock returns, J. Economet., 52, pp. 245-266.
28. T.H. Park and L.N. Switzer (1995), Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note, J. Futures Markets, 15, pp. 61-67.
29. R. Schoenberg (1998), FANPAC User Manual, Aptech Systems, Maple Valley, WA.
30. Y.K. Tse (2000), A test for constant correlations in a multivariate GARCH model, J. Economet., 98, pp. 107-127.
31. R. Vanderbei and H.Y. Benson (1999), On Formulating Semidefinite Programming Problems as Smooth Convex Nonlinear Optimization Problems, Technical Report ORFE 99-01, Princeton University, Princeton, NJ.