STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS

This paper deals with the asymptotic properties of quasi-maximum likel ihood estimators for multivariate heteroskedastic models. For a genera l model, we give conditions under which strong consistency can be obta ined; unlike in the current literature, the assumptions on the existen ce of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular mode l, the multivariate GARCH model with constant correlation, we describe the set of parameters where these conditions hold.