A closed-form estimator for the multivariate GARCH(1,1)model
نویسندگان
چکیده
منابع مشابه
A closed-form estimator for the multivariate GARCH(1,1) model
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show that the estimator is consistent and asymptotically normal distributed. Our results allow also to derive a closed form for the parameters in the context of temporal aggregation of multivariate GARC...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2013.05.005