MGARCH and Robust option

Discussions of ARCH, GARCH, and related models
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amcqeen
Posts: 17
Joined: Wed Jan 14, 2009 6:42 am

MGARCH and Robust option

Unread post by amcqeen »

In the MGARCH models, when we choose the robust option,
we obtain robust estimates for the covariances following Bollerslev and Wooldridge, (1992) ?

Tnx!
Maria
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: MGARCH and Robust option

Unread post by TomDoan »

It's basically the same thing with slight difference in the way it's calculated.
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