He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]
ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model … checked numerically once the values of the parameters are given. -- conditional covariance matrix ; multivariate GARCH … GARCH model. For the general
vector GARCH model,analytical expressions for the conditions in terms of
the parameters become …