Volatility Estimation of Multivariate ARMA GARCH Model

• 作 者: Pengfei Xie Jimin Ye Junyuan W
• 机 构: SchoolofMathematicsandStatistics
• 出 处: 哈尔滨工业大学学报:英文版
• 发表日期: 2020年1期
• 关键词: structural AUTOREGRESSIVE moving AVERAGE MULTIVARIATE GARCH independent componen
• 基金项目: the National Natural Science Foundation of China(Grant No.61573014)

GARCH models play an extremely important role in financial time series.However,the parameter estimation of the multivariate GARCH model is challenging because the parameter number is square of the dimension of the model.In this paper,the model of structur