Method of Moments Estimation of GO-GARCH Models

• Tác giả: Peter H Boswijk
• Ngôn ngữ: eng
• Ký hiệu phân loại: 001.43 Historical, descriptive, experimental methods
• Thông tin xuất bản: 2012
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 324868
• Chủ đề: 1. Dynamic Quantile Regressions; 2. Dynamic Treatment Models C320; 3. Model Construction and Estimation C510; 4. Multiple or Simultaneous Equation Models: Time-Series Models

Tóm tắt

We propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than likelihood-based estimation. Furthermore, the new method does not require strict assumptions on the volatility models of the factors, and therefore is less sensitive to model misspecification. We provide conditions for consistency of the estimator, and study its efficiency relative to maximum likelihood estimation using Monte Carlo simulations. The method is applied to European sector returns.