Feasible generalized least squares estimation of multivariate GARCH(1, 1) models

Federico Poloni () and Giacomo Sbrana

Journal of Multivariate Analysis, 2014, vol. 129, issue C, 151-159

Abstract: We provide a feasible generalized least squares estimator for (unrestricted) multivariate GARCH(1, 1) models. We show that the estimator is consistent and asymptotically normally distributed under mild assumptions. Unlike the (quasi) maximum likelihood method, the feasible GLS is considerably fast to implement and does not require any complex optimization routine.

Keywords: Multivariate GARCH(1, 1) models; Feasible generalized least squares estimation; Maximum likelihood estimation (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.jmva.2014.04.015

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