Multivariate Simultaneous Generalized ARCH
研究了联立方程系统中多元广义ARCH模型的设定与估计，提出新的参数化方法，并讨论了保证条件协方差矩阵正定性和协方差平稳性的条件。
This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance stationarity are presented. Identification and maximum likelihood estimation of the parameters in the simultaneous equations context are also covered.