On asymptotic theory for multivariate GARCH models

  • Authors:

  • Christian M. Hafner;Arie Preminger

  • Affiliations:

  • Institut de Statistique and CORE, Université Catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium;Department of Economics, University of Haifa, Mount Carmel, Haifa 31905, Israel

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2009

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Abstract

The paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988) [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor GARCH models, which are often used in practice. We provide sufficient conditions for strict stationarity and geometric ergodicity. The strong consistency of the quasi-maximum likelihood estimator (QMLE) is proved under mild regularity conditions which allow the process to be integrated. In order to obtain asymptotic normality, the existence of sixth-order moments of the process is assumed.