most citedA closed-form estimator for the multivariate GARCH(1,1) model

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math.ST2013★ 7 cited

A closed-form estimator for the multivariate GARCH(1,1) model

Giacomo Sbrana, Federico Poloni

We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear alg…