21 Dec

Multivariate GARCH with Only Univariate Estimation

by Patrick Burns.

Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates.

This version: 2005 March 01 (pdf)

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