February 1, 1995Econometric Theory
Multivariate Simultaneous Generalized ARCH
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Implication
Theoretical results develop a new multivariate ARCH model to assess covariance in simultaneous equations, suggesting improved estimation methods.
Key Points
- The research aims to formulate and estimate multivariate generalized ARCH models within a simultaneous equations framework.
- Proposes a new parameterization of the multivariate ARCH process.
- Develops constraints to ensure positive definiteness of conditional covariance matrices.
- Covers identification and maximum likelihood estimation in concurrent equations.
- Introduces necessary and sufficient conditions for covariance stationarity in multivariate ARCH models.
- Establishes equivalence relations for different ARCH parameterizations.
Cite This Study
Engle et al. (1995) studied this question.