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

Authors:
Giacomo Sbrana;Federico Poloni
Affiliations:
-;-
Venue:
Journal of Multivariate Analysis
Year:
2013

Citing 2
Cited 0

Asymptotic theory for multivariate GARCH processes

Journal of Multivariate Analysis
Structured Polynomial Eigenvalue Problems: Good Vibrations from Good Linearizations

SIAM Journal on Matrix Analysis and Applications

Quantified Score

Hi-index	0.00

Visualization

Abstract

We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1) model. We show that the GARCH parameters can be derived analytically, using the autocovariances of the observed data, applying simple linear algebra tools. The resulting estimator is consistent and asymptotically normally distributed. Our results provide also closed-form expressions for the parameters of the temporally aggregated multivariate GARCH(1,1) discussed in Hafner (2008) [15].