On asymptotic theory for multivariate GARCH models

Christian Hafner and Arie Preminger

Journal of Multivariate Analysis, 2009, vol. 100, issue 9, 2044-2054

Abstract: The paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988)Â [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor GARCH models, which are often used in practice. We provide sufficient conditions for strict stationarity and geometric ergodicity. The strong consistency of the quasi-maximum likelihood estimator (QMLE) is proved under mild regularity conditions which allow the process to be integrated. In order to obtain asymptotic normality, the existence of sixth-order moments of the process is assumed.

Keywords: Multivariate; GARCH; models; VEC; Geometric; ergodicity; Consistency; Asymptotic; normality (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (74)

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