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Analytical Score for Multivariate GARCH Models

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  • Lucchetti, Riccardo

Abstract

Multivariate GARCH models constitute the workhorse of empirical applications in several fields, a notable example being financial econometrics. Unfortunately, ML (or quasi-ML) estimation of such models, although relatively straightforward in theory, is often made difficult by the fact that available software relies on numerical methods for computing the first derivatives of the log-likelihood; the fact that these models often include a large number of parameters makes it impractical to estimate even medium-sized models. In this paper, closed-form expressions for the score of the BEKK model of Engle and Kroner (1995) are obtained, and strategies for efficient computation are discussed. Copyright 2002 by Kluwer Academic Publishers

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  • Lucchetti, Riccardo, 2002. "Analytical Score for Multivariate GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 133-143, April.
    • Handle: RePEc:kap:compec:v:19:y:2002:i:2:p:133-43
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    6. K. Diamantopoulos & I. Vrontos, 2010. "A Student-t Full Factor Multivariate GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 63-83, January.
    7. 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.
    8. Mendoza, Alfonso. & Galvanovskis, Evalds., 2014. "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(323), pages .721-746, julio-sep.
    9. Riccardo LUCCHETTI & Giulio PALOMBA, 2006. "Forecasting US bond yields at weekly frequency," Working Papers 261, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    10. Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba, 2020. "Analytical Gradients of Dynamic Conditional Correlation Models," JRFM, MDPI, vol. 13(3), pages 1-21, March.
    11. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
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