Asymptotic Theory for Multivariate GARCH Processes

F. Comte and Offer Lieberman
Additional contact information
F. Comte: University of Paris
Offer Lieberman: Technion-Israel Institute of Technology

No 1349, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We provide in this paper asymptotic theory for the multivariate GARCH (p,q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given in Jeantheau [19] in conjunction with a result given by Boussama [9] concerning the existence of a stationary and ergodic solution to the multivariate GARCH (p,q) process. We prove asymptotic normality of the quasi-MLE when the initial state is either stationary or fixed.

Keywords: Asymptotic normality; BEKK; consistency; GARCH; Martingale CLT (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2001-12
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Citations: View citations in EconPapers (3)

Published in Journal of Multivariate Analysis (2003), 84: 61-84

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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1349

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