Week 3

Question 1

What is the observation equation of a multivariate GARCH model?

Answer 1

Question 2

What is the vech(.) operator?

Answer 2

Question 3

What is the definition of a VECH(p,q) model?

Answer 3

Question 4

What are the two limitations of a VECH model?

Answer 4

Question 5

What is the Halmard product?

Answer 5

Question 6

What is the DVECH(1,1) and the DVECH(p,q) model?

Give the definition

Answer 6

Question 7

What is the sDVECH(1,1) model?

Answer 7

Question 8

What is a BEKK(1,1) and BEKK(p,q) model?

Answer 8

Question 9

What are advantages and disadvantages of a BEKK model?

Answer 9

Question 10

What is the main idea of the CCC model?

Answer 10

Question 11

What is the definition of the CCC model?

Answer 11

Question 12

What are the advantages and disadvantages of a CCC model?

Answer 12

Question 13

What is the DCC model?

Give definition (of bivariate version) en short explanation

Answer 13

Question 14

How is the conditional correlation calculated in the DCC model?

Answer 14

Question 15

What is the idea of covariance targeting?

Answer 15

Question 16

What are the advantages of covariance targeting?

Answer 16

Question 17

What are the steps of covariance targeting?

Answer 17

Question 18

What is equation-by-equation estimation?

Name the steps and model to which it is applicable & name an advantage

Answer 18

Question 19

What are three reasons why multivariate GARCH’s are useful?

Answer 19

Question 20

How do we calculate a portefolio return?

Answer 20

Question 21

What is the conditional distribution of a portefolio?

Answer 21

Question 22

What is the VaR of a portefolio?

Answer 22

Question 23

What is the Sharpe ratio?

Answer 23

Question 24

Answer 24

Question 25

What are the steps for out-of-sample portfolio evaluation?

Answer 25