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GARCH:
p q
2 2
σ =μ0 + ∑ γ i σ
t t−1 + ∑ μ j ? 2t− j '
i=1 j=1
VECH:
q p
'
vech ( H t ) =C+ ∑ A j vech (?t − j ? t−j ¿)+ ∑ B j vech ¿ ¿ ¿
j=1 j=1
BEKK:
q k p k
H t =c c' + ∑ ∑ A 'KJ ? t − j ? 't − j A kj + ∑ ∑ B'KJ H t− j Bk j '
BEKK MGARCH:
q k p k
0 a11 a 12 γ 11 γ 21 u1 , t−1 u1 ,t −1 u2 ,t −1 γ 11 γ 12
][ +
][⌊
]
22 0 a 22 γ 12 γ 22 u 1, t−1 u2 ,t −1 u 22, t−1
⌋
γ 21 γ 22 [ ]
2
β 21 σ 1 ,t −1 σ 12, t−1 β 11 β 12
][ ][
β 22 σ 21, t−1 σ 22 ,t −1 β 21 β 22 ]
2 2 2 2 2 2 2 2 2
σ 1 , t=a11 + γ 11 u1 ,t −1+ 2 γ 11 γ 21 u1 , t−1 u 2 ,t−1 +γ 21 u2 , t−1 + β 11 σ 1 ,t −1 +2 β 11 β21 σ 21 ,t −1 + β 21 σ 2 ,t−1
σ 12 , t=a11 a12+ γ 11 γ 12 u 21 ,t−1 + γ 11 γ 22 u1 , t−1 u 2, t−1 +γ 12 γ 21 u1 , t−1 u 2 ,t−1 + γ 22 γ 21 u 22 ,t−1 + β 11 β12 σ 21 ,t −1+ β 12 β 21 σ 21 ,t−
σ 22, t=( a211 + a222 ) +γ 12 u21 , t−1 +2 γ 22 γ 12 u1 ,t −1 u2 ,t −1+ γ 222 u22 ,t −1+ β 212 σ 21 ,t −1 +2 β 22 β 12 σ 12 ,t −1+ β 222 σ 22 ,t −1