Wake me up before you GO-GARCH

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

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)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2006-09-19, Revised 2006-09-21
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Working Paper: Wake me up before you GO-GARCH (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:uvatin:20060079

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