Partially in response to the question that was asked here a couple weeks ago, the following paper now exists. In the working papers section of the Burns Statistics website http://www.burns-stat.com/ is the following: Multivariate GARCH with Only Univariate Estimation Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates. Patrick Burns Burns Statistics patrick@burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com
Multivariate GARCH with only univariate estimation
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