An application of the analogy between vector ARCH and vector random coefficient autoregressive models
Changli He () and
Timo Teräsvirta ()
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Changli He: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
No 516, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the parameters become complicated, but their validity can in principle be checked numerically once the values of the parameters are given.
Keywords: conditional covariance matrix; multivariate GARCH; multivariate volatility model; random coefficient model; volatility forecasting (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0516
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