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Multivariate GARCH Models: Software Choice and Estimation Issues

Chris Brooks, Simon Burke () and Gita Persand
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Simon Burke: Economics Dept - University of Reading
Gita Persand: Economics Dept - University of Bristol

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: A large number of important practical tasks can be accomplished using a multivariate GARCH model. This paper examines the relatively small number of software packages that are currently available for estimating such models, in spite of their widespread use. The review focuses upon estimation issues and differences in available options for controlling the optimisation, and the review then considers an application to the estimation of optimal hedge ratios. Large differences in estimated parameters and standard errors are observed, but these are found to generate only modest differences in optimal hedge ratios and virtually indiscernible differences in model performance measures.

Pages: 21 Pages
Date: 2003-04
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Published in Journal of Applied Econometrics 2003, 18, 725-734

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