A closed-form estimator for the multivariate GARCH(1,1) model

摘要

We provide a closed-form estimator based on the VARMA representation for theunrestricted multivariate GARCH(1,1). We show that all parameters can bederived using basic linear algebra tools. We show that the estimator isconsistent and asymptotically normal distributed. Our results allow also toderive a closed form for the parameters in the context of temporal aggregationof multivariate GARCH(1,1) by solving the equations as in Hafner [2008].