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Analytic Score for Multivariate GARCH Models

Riccardo (Jack) Lucchetti ()

No 119, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: Multivariate GARCH models constitute the workhorse of empirical applications in several fields, a notable example being financial econometrics. Unfortunately, ML (or quasi-ML) estimation of such models, although relatively straightforward in theory, is often made difficult by the fact that available software relies on numerical methods for computing the first derivatives of the log-likelihood; the fact that these models often include several dozens of parameters makes it impractical to estimate even medium-sized models. In this paper, closed-form expressions for the score of the BEKK model of Engle and Kroner (1995) are obtained, and strategies for efficient computation are discussed.

Date: 1999-10
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http://docs.dises.univpm.it/web/quaderni/pdf/119.pdf First version, 1999 (application/pdf)

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Journal Article: Analytical Score for Multivariate GARCH Models (2002) Downloads
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