RT Report
T1 The Fiction of Full BEKK
A1 Chang, Chia-Lin
A1 McAleer, Michael
AB 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.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
SN 2341-2356
YR 2017
FD 2017
LK https://hdl.handle.net/20.500.14352/22877
UL https://hdl.handle.net/20.500.14352/22877
LA eng
DS Docta Complutense
RD 4 abr 2025