QML estimation of a class of multivariate GARCH models without moment conditions on the observed process

Christian Francq and Jean-Michel Zakoian

MPRA Paper from University Library of Munich, Germany

Abstract: We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case. In particular, contrary to the current literature on the estimation of multivariate GARCH models, no moment assumption is made on the observed process. Instead, we require strict stationarity, for which a necessary and sufficient condition is established.

Keywords: Asymptotic Normality; Conditional Heteroskedasticity; Consistency; Constant Conditional Correlation; Multivariate GARCH; Quasi Maximum Likelihood Estimation; Strict Stationarity Condition (search for similar items in EconPapers)
JEL-codes: C01 C13 C32 (search for similar items in EconPapers)
Date: 2010-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20779

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