On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices

Summary Estimating time‐varying covariance matrices of the vector of interest is challenging both computationally and statistically due to a large number of constrained parameters. In this work, we consider an order‐averaged Cholesky‐log‐GARCH (OA‐CLGARCH) model for estimating time‐varying covariance matrices through the orthogonal transformations of the vector based on the modified Cholesky decomposition. The proposed method is to transform the...