Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Olivier Ledoit; Pedro Santa-Clara; Michael Wolf

doi:10.1162/003465303322369858

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Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Olivier Ledoit¹; Pedro Santa-Clara; Michael Wolf²

¹ Credit Suisse (Switzerland) · ² Universitat Pompeu Fabra

The Review of Economics and Statistics 2003

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the new estimator with a number of existing ones.

DOI: 10.1162/003465303322369858
Volume: 85 (3)
Pages: 735-747
Language: en
Export: BibTeX
Sources: crossref openalex