Chapter 11. Multivariate GARCH Processes

  1. Christian Francq1 and
  2. Jean-Michel Zakoïan1,2

Published Online: 14 JUL 2010

DOI: 10.1002/9780470670057.ch11

GARCH Models: Structure, Statistical Inference and Financial Applications

GARCH Models: Structure, Statistical Inference and Financial Applications

How to Cite

Francq, C. and Zakoïan, J.-M. (2010) Multivariate GARCH Processes, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch11

Author Information

  1. 1

    University Lille 3, Lille, France

  2. 2

    CREST, Paris, France

Publication History

  1. Published Online: 14 JUL 2010
  2. Published Print: 23 JUL 2010

ISBN Information

Print ISBN: 9780470683910

Online ISBN: 9780470670057

SEARCH

Keywords:

  • multivariate GARCH processes;
  • modeling comovements of several series - of great practical importance;
  • standard linear modeling of real time series - natural multivariate extension through vector ARMA (VARMA) models;
  • concept of multivariate GARCH model;
  • multivariate stationary processes;
  • notion of scalar ARMA process - to multivariate case;
  • multivariate GARCH models;
  • BEKK-GARCH model - BEKK, specific parameterization of multivariate GARCH model by Baba, Engle, Kraft and Kroner;
  • CCC model estimation of m-dimensional CCC-GARCH(p, q) model - by QMLM;
  • proof of consistency and asymptotic normality of QML

Summary

This chapter contains sections titled:

  • Multivariate Stationary Processes

  • Multivariate GARCH Models

  • Stationarity

  • Estimation of the CCC Model

  • Bibliographical Notes

  • Exercises