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Multivariate Simultaneous Generalized ARCH

  • Robert F. Engle (a1) and Kenneth F. Kroner (a2)

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. Identification and maximum likelihood estimation of the parameters in the simultaneous equations context are also covered.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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