Estimation of multivariate asymmetric power GARCH models

Y. Boubacar Maïnassara, O. Kadmiri and B. Saussereau

Journal of Multivariate Analysis, 2022, vol. 192, issue C

Abstract: We suggest a new class of multivariate power transformed asymmetric models. It includes several functional forms of multivariate GARCH models which are of great interest in financial modeling and time series literature. We provide an explicit necessary and sufficient condition to establish the strict stationarity of the model. The asymptotic properties of the quasi-maximum likelihood estimator of the parameters are established. The asymptotic results are illustrated by Monte Carlo experiments and an application to real financial data is studied.

Keywords: Constant conditional correlation; Multivariate asymmetric power GARCH models; Quasi-maximum likelihood; Threshold models (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2022.105073

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