Wake Me Up Before You Go-Garch

Tinbergen Institute Discussion Paper No. 06-079/4

Posted: 22 Sep 2006

See all articles by H. Peter Boswijk

H. Peter Boswijk

Amsterdam School of Economics; Tinbergen Institute

Roy van der Weide

World Bank; World Bank - Development Research Group (DECRG)

Date Written: September 2006


In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in larger-dimensional systems, where a full likelihood optimization is often infeasible. The effectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.

Keywords: Multivariate GARCH; Non-Linear Least-Squares; Maximum Likelihood

JEL Classification: C13; C32

Suggested Citation

Boswijk, H. Peter and van der Weide, Roy, Wake Me Up Before You Go-Garch (September 2006). Available at SSRN: https://ssrn.com/abstract=932039

H. Peter Boswijk (Contact Author)

Amsterdam School of Economics ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB

HOME PAGE: http://www.uva.nl/profile/h.p.boswijk

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA

Roy Van der Weide

World Bank ( email )

1818 H Street, N.W.
Washington, DC 20433
United States

World Bank - Development Research Group (DECRG)

1818 H. Street, N.W.
Washington, DC 20433
United States

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