A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
We introduce a dynamic spatiotemporal volatility model that extends traditional approaches by incorporating spatial, temporal, and spatiotemporal spillover effects, along with volatility-specific observed and latent factors. The model offers a more general network interpretation, making it applicable for studying various types of network spillovers. The primary innovation lies in incorporating …