Method of Moments Estimation of GO-GARCH Models

We propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than likelih...

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Main Authors:	Boswijk, Peter H., van der Weide, Roy
Format:	Journal Article
Language:	EN
Published:	2012
Subjects:	Multiple or Simultaneous Equation Models: Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Models C320 Model Construction and Estimation C510
Online Access:	http://hdl.handle.net/10986/4839

id	okr-10986-4839
recordtype	oai_dc
spelling	okr-10986-48392021-04-23T14:02:19Z Method of Moments Estimation of GO-GARCH Models Boswijk, Peter H. van der Weide, Roy Multiple or Simultaneous Equation Models: Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Models C320 Model Construction and Estimation C510 We propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than likelihood-based estimation. Furthermore, the new method does not require strict assumptions on the volatility models of the factors, and therefore is less sensitive to model misspecification. We provide conditions for consistency of the estimator, and study its efficiency relative to maximum likelihood estimation using Monte Carlo simulations. The method is applied to European sector returns. 2012-03-30T07:30:00Z 2012-03-30T07:30:00Z 2011 Journal Article Journal of Econometrics 03044076 http://hdl.handle.net/10986/4839 EN http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Journal Article
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	EN
topic	Multiple or Simultaneous Equation Models: Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Models C320 Model Construction and Estimation C510
spellingShingle	Multiple or Simultaneous Equation Models: Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Models C320 Model Construction and Estimation C510 Boswijk, Peter H. van der Weide, Roy Method of Moments Estimation of GO-GARCH Models
relation	http://creativecommons.org/licenses/by-nc-nd/3.0/igo
description	We propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than likelihood-based estimation. Furthermore, the new method does not require strict assumptions on the volatility models of the factors, and therefore is less sensitive to model misspecification. We provide conditions for consistency of the estimator, and study its efficiency relative to maximum likelihood estimation using Monte Carlo simulations. The method is applied to European sector returns.
format	Journal Article
author	Boswijk, Peter H. van der Weide, Roy
author_facet	Boswijk, Peter H. van der Weide, Roy
author_sort	Boswijk, Peter H.
title	Method of Moments Estimation of GO-GARCH Models
title_short	Method of Moments Estimation of GO-GARCH Models
title_full	Method of Moments Estimation of GO-GARCH Models
title_fullStr	Method of Moments Estimation of GO-GARCH Models
title_full_unstemmed	Method of Moments Estimation of GO-GARCH Models
title_sort	method of moments estimation of go-garch models
publishDate	2012
url	http://hdl.handle.net/10986/4839
_version_	1764392959564840960

Method of Moments Estimation of GO-GARCH Models

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