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) 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.

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Year of publication:	2013
Authors:	Sbrana, Giacomo ; Poloni, Federico
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 120.2013, C, p. 152-162
Publisher:	Elsevier
Subject:	Multivariate GARCH(1 \| 1) \| VARMA \| Temporal aggregation \| Estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010681786