Wake me up before you GO-GARCH

H. Peter Boswijk () and Roy van der Weide ()

No 06-079/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in larger-dimensional systems, where a full likelihood optimization is often infeasible. The effectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.

Keywords: Multivariate GARCH; Non-Linear Least-Squares; Maximum Likelihood (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Date: 2006-09-19, Revised 2006-09-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Working Paper: Wake me up before you GO-GARCH (2006)
Working Paper: Wake me up before you GO-GARCH (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20060079

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