Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56107
Authors: 
He, Changli
Teräsvirta, Timo
Year of Publication: 
2002
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 516
Abstract: 
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the parameters become complicated, but their validity can in principle be checked numerically once the values of the parameters are given.
Subjects: 
conditional covariance matrix
multivariate GARCH
multivariate volatility model
random coefficient model
volatility forecasting
JEL: 
C32
Document Type: 
Working Paper

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