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

作者：Sbrana Giacomo^*; Poloni Federico

来源：Journal of Multivariate Analysis, 2013, 120: 152-162.

DOI：10.1016/j.jmva.2013.05.005

• Multivariate GARCH(1,1)
• VARMA
• Temporal aggregation
• Estimation

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. %26lt;br%26gt;Our results provide also closed-form expressions for the parameters of the temporally aggregated multivariate GARCH(1,1) discussed in Hafner (2008) [15].

• 出版日期2013-9