Multivariate Simultaneous GARCH [статья]
Опубликовано на портале: 07-04-2004Robert F. Engle, Kenneth F. Kroner Econometric Theory. 1995. Vol. 11. No. 1. P. 122-150.
This paper presents theoretical results in the formulation and estimation of multivariate gen- eralized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed and equivalence relations are discussed for the various ARCH parameterizations. Constraints suffcient to guarantee the positive deffniteness of the con- ditional covariance matrices are developed, and necessary and suffcient conditions for covariance stationarity are presented. Identifcation and maximum likelihood estimation of the parameters in the simultaneous equations context are also covered.