Affordable Access

Publisher Website

A closed-form estimator for the multivariate GARCH [formula omitted]model

Authors
Journal
Journal of Multivariate Analysis
0047-259X
Publisher
Elsevier
Volume
120
Identifiers
DOI: 10.1016/j.jmva.2013.05.005
Keywords
  • Multivariate Garch(1
  • 1)
  • Varma
  • Temporal Aggregation
  • Estimation
Disciplines
  • Mathematics

Abstract

Abstract We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1) model. We show that the GARCH parameters can be derived analytically, using the autocovariances of the observed data, applying simple linear algebra tools. The resulting estimator is consistent and asymptotically normally distributed. Our results provide also closed-form expressions for the parameters of the temporally aggregated multivariate GARCH(1,1) discussed in Hafner (2008) [15].

There are no comments yet on this publication. Be the first to share your thoughts.