The conditional autoregressive Wishart model for multivariate stock market volatility
多变量股票市场波动率的条件自回归Wishart模型
We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes an autoregressive moving average structure for the scale matrix of the Wishart distribution. It accounts for positive definiteness of covariance matrices without imposing parametric restrictions, and can be estimated by Maximum Likelihood. We also propose extensions of the CAW model obtained by including a Mixed Data Sampling…