The Fiction of Full BEKK

Arbeitspapier

The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity conditions that arise from the underlying random coefficient autoregressive process, and for which the (quasi-) maximum likelihood estimates have valid asymptotic properties under the appropriate parametric restrictions. The paper provides a discussion of the stochastic processes, regularity conditions, and asymptotic properties of univariate and multivariate GARCH models. It is shown that the Full BEKK model, which in practice is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 17-015/III

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Evaluation, Validation, and Selection ; Financial Econometrics
• Subject: Random coefficient stochastic process ; Off-diagonal parametric restrictions ; Diagonal and Full BEKK ; Regularity conditions ; Asymptotic properties ; Conditional volatility ; Univariate and multivariate models.

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chang, Chia-Lin ; McAleer, Michael
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/162281
• Last update: 10.03.2025, 11:43 AM CET