Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model

Speaker: Professor Dr Matthias Fengler
Affiliation: University of St Gallen
Location: Room 220, Michie Building (#9), UQ St Lucia Campus, or 
Via Zoom link: https://uqz.zoom.us/j/82603079317

Abstract 

We extend the classical MGARCH specification for volatility modeling by developing a structural MGARCH model targeting identification of shocks and volatility spillovers in a speculative return system. Similarly to the proxy-sVAR framework, we work with auxiliary proxy variables constructed from news-related measures to identify the underlying shock system. We achieve full identification with multiple proxies by chaining Givens rotations. In an empirical application, we identify an equity, bond and currency shock. We study the volatility spillovers implied by these labelled structural shocks. Our analysis shows that symmetric spillover regimes are rejected.

About the presenters visit 

If you would like to meet with Prof Dr Fengler contact: Dr Fu Ouyan.