Karanasos, Menelaos - Department of Economics and Related Studies, University …
This paper extents Karanasos (1999a) results for the n Component GARCH(1,1) and the two Component GARCH(2,2) models and it further examines the n Component GARCH(n,n) model. In particular, we present the GARCH(n^2;n^2) representation of the aggregate variance and we give the condition for the...