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Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations

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  • Fernández, Begoña
  • Muriel, Nelson

Abstract

We establish the regular variation of the finite dimensional distributions of the multivariate GARCH(p,q) process with constant conditional correlations under mild assumptions on the noise distribution. We use this property for two main purposes: First, to describe the componentwise-maximum domain of attraction in which the process lies; and second, to relate the asymptotic behavior of the sample autocovariance function of the process to its regular variation index.

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  • Fernández, Begoña & Muriel, Nelson, 2009. "Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1538-1550, August.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:7:p:1538-1550
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    1. Muneya Matsui & Witold Świątkowski, 2021. "Tail indices for $$\mathbf{A}\mathbf{X}+\mathbf{B}$$ A X + B Recursion with Triangular Matrices," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1831-1869, December.
    2. Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
    3. Krizmanić, Danijel, 2017. "Weak convergence of multivariate partial maxima processes," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 1-11.

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