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

DOI10.1016/J.JMVA.2013.05.005MaRDI QIDQ391807zbMATH OpenOpenAlexFDO

Authors Giacomo Sbrana, Federico Poloni

Publication date 13 January 2014

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

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

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)

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].

Recommendations

• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Feasible generalized least squares estimation of multivariate GARCH(1,1) models
• On asymptotic theory for multivariate GARCH models
• A robust closed-form estimator for the GARCH(1,1) model
• Temporal aggregation of multivariate GARCH processes

Cites work

• scientific article; zbMATH DE number 5131267 (Why is no real title available?)
• scientific article; zbMATH DE number 3756646 (Why is no real title available?)
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• ARCH models and financial applications
• Asymptotic theory for multivariate GARCH processes.
• Efficient computation of the extreme solutions of $X+A^*X^{-1}A=Q$ and $X-A^*X^{-1}A=Q$
• Elements of multivariate time series analysis.
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• Estimation of temporally aggregated multivariate GARCH models
• Lyapunov matrix equations in system stability and control.
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Necessary and sufficient conditions for the existence of a positive definite solution of the matrix equation \(X+A^*X^{-1}A=Q\)
• Structured Polynomial Eigenvalue Problems: Good Vibrations from Good Linearizations
• Temporal aggregation of multivariate GARCH processes

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

This page was built for publication: A closed-form estimator for the multivariate GARCH(1,1) model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q391807)