A closed-form estimator for the multivariate GARCH(1,1) model

Giacomo Sbrana and Federico Poloni ()

Journal of Multivariate Analysis, 2013, vol. 120, issue C, 152-162

Abstract: We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1) model. We show that the GARCH parameters can be derived analytically, using the autocovariances of the observed data, applying simple linear algebra tools. The resulting estimator is consistent and asymptotically normally distributed.

Keywords: Multivariate GARCH(1,1); VARMA; Temporal aggregation; Estimation (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2013.05.005

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