Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2006-09-19
Revision-Date: 2006-09-21
Number: 06-079/4
Author-Name: H. Peter Boswijk
Author-Email: h.p.boswijk@uva.nl
Author-Workplace-Name: Universiteit van Amsterdam
Author-Name: Roy van der Weide
Author-Email: rvanderweide@worldbank.org
Author-Workplace-Name: World Bank
Title: Wake me up before you GO-GARCH
Abstract: In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in larger-dimensional systems, where a full likelihood optimization is often infeasible. The effectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.
Classification-JEL: C13; C32
Keywords: Multivariate GARCH; Non-Linear Least-Squares; Maximum Likelihood
File-Url: https://papers.tinbergen.nl/06079.pdf
File-Format: application/pdf
File-Size: 694611 bytes
Handle: RePEc:tin:wpaper:20060079