Template-Type: ReDIF-Paper 1.0
Author-Name: Hafner, C.M.
Author-Name-Last: Hafner
Author-Name-First: Christian
Author-Person: pha77
Author-Name: Herwartz, H.
Author-Name-Last: Herwartz
Title: Analytical quasi maximum likelihood inference in multivariate volatility models
Abstract: Quasi maximum likelihood estimation and inference in multivariate volatility models remains a challenging computational task if, for example, the dimension is high. One of the reasons is that typically numerical procedures are used to compute the score and the Hessian, and often they are numerically unstable. We provide analytical formulae for the score and the Hessian and show in a simulation study that they clearly outperform numerical methods. As an example, we use the popular BEKK-GARCH model, for which we derive first and second order derivatives.
Creation-Date: 2003-08-06
File-URL: https://repub.eur.nl/pub/1721/feweco20030806160716.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2003-21
Classification-JEL: C14, C22
Keywords: multivariate GARCH models, quasi maximum likelihood
Handle: RePEc:ems:eureir:1721