Boswijk, H.P.

van der Weide, R.

English

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

International Migration, Integration and Social Cohesion online publications

Wake me up before you GO-GARCH

https://pure.uva.nl/ws/files/4360328/145459_381fulltext.pdf

Wake me up before you GO-GARCH

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International Migration, Integration and Social Cohesion online publications