We 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.Our results provide also closed-form expressions for the parameters of the temporally aggregated multivariate GARCH(1,1) discussed in Hafner (2008) [15]. © 2013 Elsevier Inc.
A closed-form estimator for the multivariate GARCH (1,1) model
POLONI, FEDERICO GIOVANNI
2013-01-01
Abstract
We 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.Our results provide also closed-form expressions for the parameters of the temporally aggregated multivariate GARCH(1,1) discussed in Hafner (2008) [15]. © 2013 Elsevier Inc.File in questo prodotto:
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