Estimating VAR-MGARCH models in multiple steps

• M. Angeles Carnero Fernández ^[1] ; M. Hakan Eratalay ^[2]
  1. [1] Universitat d'Alacant

     Universitat d'Alacant

     Alicante, España

     
  2. [2] Universitat d'Alacnt
• Localización: Working papers = Documentos de trabajo: Serie AD, Nº. 10, 2012, págs. 1-46
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • This paper analyzes the performance of multiple steps estimators of Vector Autoregressive Multivariate Conditional Correlation GARCH models by means of Monte Carlo experiments. We show that if innovations are Gaussian, estimating the parameters in multiple steps is a reasonable alternative to the maximization of the full likelihood function. Our results also suggest that for the sample sizes usually encountered in financial econometrics, the differences between the volatility and correlation estimates obtained with the more efficient estimator and the multiple steps estimators are negligible. However, this does not seem to be the case if the distribution is a Student-t.