On asymptotic theory for multivariate GARCH models

Hafner, Christian;Preminger, Arie
(2009) Journal of Multivariate Analysis — Vol. 100, n° 9, p. 2044-2054 (2009)

Files

pdfdocument.pdf
  • Restricted Access
  • Adobe PDF
  • 682.55 KB
Request a copy

Details

Authors
Abstract
The paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988) [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor GARCH models, which are often used in practice. We provide sufficient conditions for strict stationarity and geometric ergodicity. The strong consistency of the quasi-maximum likelihood estimator (QMLE) is proved under mild regularity conditions which allow the process to be integrated. In order to obtain asymptotic normality, the existence of sixth-order moments of the process is assumed. (C) 2009 Elsevier Inc. All rights reserved.
Affiliations
  • Institution iconUCLouvainSSH/IMAQ - Institut multidisciplinaire pour la modélisation et l'analyse quantitative

Citations

  • APA
  • Chicago
  • FWB

Hafner, C., & Preminger, A. (2009). On asymptotic theory for multivariate GARCH models. Journal of Multivariate Analysis, 100(9), 2044-2054. https://doi.org/10.1016/j.jmva.2009.03.011 (Original work published 2009)