A closed-form estimator for the multivariate GARCH(1,1) model

DOI10.1016/J.JMVA.2013.05.005zbMATH Open1282.62202arXiv1303.3740OpenAlexW1977699941MaRDI QIDQ391807FDOQ391807

Authors: Giacomo Sbrana, Federico Poloni 

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: 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 GARCH(1,1) by solving the equations as in Hafner [2008].

Full work available at URL: https://arxiv.org/abs/1303.3740

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zbMATH Keywords

temporal aggregationVARMA

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Basic linear algebra (15A99) Matrix equations and identities (15A24)

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• Title not available (Why is that?)
• Temporal aggregation of multivariate GARCH processes
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• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

Cited In (8)

• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Moment-based estimation for the multivariate COGARCH(1,1) process
• Feasible generalized least squares estimation of multivariate GARCH(1,1) models
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Temporal aggregation of multivariate GARCH processes
• Method of moments estimation of GO-GARCH models
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• Analytical score for multivariate GARCH models

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