A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks
异质时空 GARCH:金融网络波动率预测框架
We introduce a heterogeneous spatiotemporal GARCH model for geostatistical data or processes on networks, e.g., for modelling and predicting financial return volatility across firms in a latent spatial framework. The model combines classical GARCH(p, q) dynamics with spatially correlated innovations and spatially varying parameters, estimated using local likelihood methods. Spatial dependence is introduced through a geostatistical covariance structure on the innovation…