Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Workplace-Name: Department of Applied Economics Department of Finance National Chung Hsing University Taiwan.
Author-Name:
 Michael McAleer
Author-Workplace-Name: Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: The Fiction of Full BEKK
Abstract: The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full 
	BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive 
	coefficient matrix, provides the regularity conditions that arise from the underlying random coefficient autoregressive 
	process, and for which the (quasi-) maximum likelihood estimates have valid asymptotic properties under the appropriate 
	parametric restrictions. The paper provides a discussion of the stochastic processes, regularity conditions, and asymptotic 
	properties of univariate and multivariate GARCH models. It is shown that the Full BEKK model, which in practice is estimated 
	almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties.
Classification-JEL: C22, C32, C52, C58.
Keywords: Random coefficient stochastic process, Off-diagonal parametric restrictions, Diagonal and Full BEKK, Regularity conditions, 
	Asymptotic properties, Conditional volatility, Univariate and multivariate models.
Length: 11 pages 
Creation-Date: 2017-01
Number: 2017-06
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1706.txt
File-URL: https://eprints.ucm.es/id/eprint/40906/1/1706.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1706