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Asymptotic theory for multivariate GARCH processes

✍ Scribed by F. Comte; O. Lieberman

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
272 KB
Volume
84
Category
Article
ISSN
0047-259X

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✦ Synopsis

We provide in this paper asymptotic theory for the multivariate GARCHðp; qÞ process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given by Jeantheau (Econometric Theory 14 (1998), 70) in conjunction with a result given by Boussama (Ergodicity, mixing and estimation in GARCH models, Ph.D. Dissertation, University of Paris 7, 1998) concerning the existence of a stationary and ergodic solution to the multivariate GARCHðp; qÞ process. We prove asymptotic normality of the quasi-MLE when the initial state is either stationary or fixed.

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