Multivariate Simultaneous Generalized ARCH

This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems

Robert F. Engle; Kenneth F. Kroner

2009

Scholarcy highlights

  • This paper presents theoretical results on the formulation and estimation of multivariate generalized 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 sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance stationarity are presented
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