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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Bibliographic Details
Main Authors: Boswijk, Peter H., van der Weide, Roy
Format: Journal Article
Language:EN
Published: 2012
Subjects:
Online Access:http://hdl.handle.net/10986/4839