Wake me up before you GO-GARCH
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| Publication date | 2006 |
| Series | UvA Econometrics discussion paper, 2006/03 |
| Number of pages | 27 |
| Publisher | Amsterdam: Universiteit van Amsterdam |
| Organisations |
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| 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. |
| Document type | Working paper |
| Published at | http://www1.feb.uva.nl/pp/bin/381fulltext.pdf |
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