An application of the analogy between vector ARCH and vector random coefficient autoregressive models

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the parameters become complicated, but their validity can in principle be checked numerically once the values of the parameters are given.

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Year of publication:	2002-11-20
Authors:	He, Changli ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	conditional covariance matrix \| multivariate GARCH \| multivariate volatility model \| random coefficient model \| volatility forecasting

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Extent:	application/pdf
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 516 15 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649365