An application of the analogy between vector ARCH and vector random coefficient autoregressive models

This file is part of IDEAS, which uses RePEc data

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

Author Info

He, Changli () (Dept. of Economic Statistics, Stockholm School of Economics)
Teräsvirta, Timo () (Dept. of Economic Statistics, Stockholm School of Economics)

Additional information is available for the following registered author(s):

Timo Teräsvirta

Abstract

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 516.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 15 pages
Date of creation: 20 Nov 2002
Date of revision:
Handle: RePEc:hhs:hastef:0516

Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Email:
Web page: http://www.hhs.se/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Helena Lundin).

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-12-02 (All new papers)
NEP-ECM-2002-12-10 (Econometrics)
NEP-ETS-2002-12-02 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February. [Downloadable!] (restricted)
Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February. [Downloadable!]
Other versions:
- Robert F. Engle & Kenneth F. Kroner previously & Yoshihisa Baba & Dennis F. Kraft, 1993. "Multivariate Simultaneous Generalized ARCH," University of California at San Diego, Economics Working Paper Series 89-57r, Department of Economics, UC San Diego. [Downloadable!]
Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
Bera, Anil K & Higgins, Matthew L & Lee, Sangkyu, 1992. "Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 133-42, April.
Other versions:
- Anil K. Bera & Sangkyu Lee & Matthew L. Higgins, 1990. "Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random Coefficient Approach," University of California at San Diego, Economics Working Paper Series 90-25, Department of Economics, UC San Diego.

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
Other versions:
- BAUWENS, Luc & LAURENT, SŽbastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
Other versions:
- Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, 03. [Downloadable!] (restricted)

Statistics

Access and download statistics

Did you know? IDEAS also indexes books.

This page was last updated on 2009-11-28.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.