Internal Seminar: Jeannine Polivka (University of St. Gallen)

Title: "Identifying structural shocks to volatility through a proxy-MGARCH model"

  • Data: 27 ottobre 2021 dalle 13:00 alle 14:00

  • Luogo: Microsoft Teams


We extend the classical MGARCH specification for volatility modeling by developing a structural multivariate GARCH (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. Our identification strategy targets full identification. We estimate the underlying structural rotation matrix by means of Givens rotations, which ensures orthogonality of the resulting shocks. In an empirical application, we identify an equity, bond and currency shock. We study the volatility spillovers implied by these labeled structural shocks. Our analysis shows that symmetric spillover regimes are rejected.