Analytical Score for Multivariate GARCH Models
- Riccardo Lucchetti
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Multivariate GARCH models constitute the workhorse of empiricalapplications in several fields, a notable example being financialeconometrics. Unfortunately, ML (or quasi-ML) estimation of such models,although relatively straightforward in theory, is often made difficult bythe fact that available software relies on numerical methods for computingthe first derivatives of the log-likelihood; the fact that these modelsoften include a large number of parameters makes it impractical toestimate even medium-sized models. In this paper, closed-form expressionsfor the score of the BEKK model of Engle and Kroner (1995) are obtained,and strategies for efficient computation are discussed.
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- Analytical Score for Multivariate GARCH Models
Volume 19, Issue 2 , pp 133-143
- Cover Date
- Print ISSN
- Online ISSN
- Kluwer Academic Publishers
- Additional Links
- multivariate time series
- conditional heteroskedasticity
- maximum likelihood estimation
- Industry Sectors
- Author Affiliations
- 1. Dipartimento di Economia, Università di Ancona, P.le Martelli 8, I-60121, Ancona, Italy