A Zero Intercept Vec model

Christian M. Hafner and Arie Preminger ()
Additional contact information
Christian M. Hafner: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2026012, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This paper introduces a multivariate volatility model that is characterized by nonstationarity irrespective of the parameters. The model is motivated by the multivariate GARCH model in VEC form, setting the intercept term to zero. We first discuss the conditions required for a positive definite conditional variance matrix.For the special case of a diagonal parameter matrix, we derive the conditions for stability of trajectories, meaning that the processes do not diverge to infinity or to zero almost surely. We then develop the asymptotic theory for maximum likelihood estimation, and propose a test of the null hypothesis of a zero Lyapunov exponent, i.e. stability. In a simulation study we demonstrate the good performance of the estimator and the test in finite samples.

Keywords: Volatility; non-stationarity; multivariate GARCH; asymptotic theory; maximum likelihood (search for similar items in EconPapers)
Date: 2026-03-28
Note: In: Statistics and Probability Letters, 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2026012

Access Statistics for this paper

More papers in LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain Gillis ().