Variance Targeting Estimation of Multivariate GARCH Models
Lajos Horvath and
Jean-Michel Zakoian ()
Journal of Financial Econometrics, 2016, vol. 14, issue 2, 353-382
We establish the strong consistency and the asymptotic normality (CAN) of the variance-targeting estimator (VTE) of the parameters of the multivariate CCC-GARCH(p, q) processes. This method alleviates the numerical difficulties encountered in the maximization of the quasi-likelihood by using an estimator of the unconditional variance. It is shown that the distribution of the VTE can be consistently estimated by a simple residual bootstrap technique. We also use the VTE for testing the model adequacy. A test statistic in the spirit of the score test is constructed, and its asymptotic properties are derived under the null assumption that the model is well specified. An extension of the VT method to asymmetric CCC-GARCH models incorporating leverage effects is studied. Numerical illustrations are provided and an empirical application based on daily exchange rates is proposed.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Variance targeting estimation of multivariate GARCH models (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:14:y:2016:i:2:p:353-382.
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Financial Econometrics is currently edited by RenÈ Garcia and Eric Renault
More articles in Journal of Financial Econometrics from Society for Financial Econometrics Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().