Wake me up before you GO-GARCH

H. Peter Boswijk () and R. van der Weide ()
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R. van der Weide: World Bank

No 06-13, CeNDEF Working Papers from Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

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 largerdimensional systems, where a full likelihood optimization is often infeasible. The eï¬~@ectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.

Date: 2006
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Working Paper: Wake me up before you GO-GARCH (2006)
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