A closed-form estimator for the multivariate GARCH(1,1) model
AbstractWe provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1) model. We show that the GARCH parameters can be derived analytically, using the autocovariances of the observed data, applying simple linear algebra tools. The resulting estimator is consistent and asymptotically normally distributed.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 120 (2013)
Issue (Month): C ()
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