IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v23y2007i03p464-484_07.html
   My bibliography  Save this article

On The Parametrization Of Multivariate Garch Models

Author

Listed:
  • Scherrer, Wolfgang
  • Ribarits, Eva

Abstract

This paper deals with issues of structure and parametrization of VECH models proposed in Bollerslev, Engle, and Wooldridge (1988) and Baba, Engle, Kraft, and Kroner (BEKK) models. Both general models and also restricted versions such as the widely used diagonal VECH (DVECH) and factor generalized autoregressive conditional heteroskedastic (F-GARCH) models are discussed. A simple algorithm is presented that checks whether a given VECH model may be cast as a BEKK model. It is shown that in the bivariate case BEKK models are as general as VECH models. In higher dimensional cases however, VECH models allow for more flexibility. In addition, a parametrization for a generic, i.e., open and dense, class of BEKK models is given, and the frequently cited parametrization by Engle and Kroner (1995, Econometric Theory 11, 122–150) is analyzed. Two shortcomings of the latter are pointed out. Finally, parametrizations for BEKK(p,q,K) models with K ≤ n, including DVECH, F-GARCH, and a generalization of the latter, are discussed.This research was supported by the project P17065 “Identification of multivariate dynamic systems with a focus on dimension reduction” of the Austrian Science Foundation (FWF).

Suggested Citation

  • Scherrer, Wolfgang & Ribarits, Eva, 2007. "On The Parametrization Of Multivariate Garch Models," Econometric Theory, Cambridge University Press, vol. 23(3), pages 464-484, June.
  • Handle: RePEc:cup:etheor:v:23:y:2007:i:03:p:464-484_07
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S026646660707020X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Viorica CHIRILA & Ciprian CHIRILA, 2018. "Effects of US Monetary Policy on Eastern European Financial Markets," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10(2), pages 149-166, August.
    2. Karunanayake, Indika & Valadkhani, Abbas & O’Brien, Martin, 2012. "GDP Growth and the Interdependency of Volatility Spillovers," MPRA Paper 50398, University Library of Munich, Germany.
    3. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
    4. Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 838-862, June.
    5. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
    6. Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
    7. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    8. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
    9. Ahmad, Wasim & Mishra, Anil V. & Daly, Kevin, 2018. "Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 117-133.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:23:y:2007:i:03:p:464-484_07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.