Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Pedersen () and Anders Rahbek

No 12-23, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to these two steps. Strong consistency is established under weak moment conditions, while sixth order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher-order moment constraints are indeed necessary.

Pages: 33 pages
Date: 2012-11-15
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Related works:
Journal Article: Multivariate variance targeting in the BEKK–GARCH model (2014)
Working Paper: Multivariate Variance Targeting in the BEKK-GARCH Model (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:1223

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