On asymptotic theory for multivariate GARCH models

被引：70

作者：

Hafner, Christian M. ^{[1
,2
]}

Preminger, Arie ^{[3
]}

机构：

[1] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium

[2] Catholic Univ Louvain, CORE, B-1348 Louvain, Belgium

[3] Univ Haifa, Dept Econ, IL-31905 Haifa, Israel

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2009年 / 100卷 / 09期

关键词：

Multivariate GARCH models; VEC; Geometric ergodicity; Consistency; Asymptotic normality; STATIONARITY;

D O I：

10.1016/j.jmva.2009.03.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：2044 / 2054

页数：11

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