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A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while estimation of the parameters remains feasible. The model can be seen as a natural generalization of the O\u2010GARCH model, while it is nested in the more general BEKK model. In order to avoid convergence difficulties of estimation algorithms, we propose to exploit unconditional information first, so that the number of parameters that need to be estimated by means of conditional information is more than halved. Both artificial and empirical examples are included to illustrate the model. Copyright \u00a9 2002 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.688","type":"journal-article","created":{"date-parts":[[2002,10,29]],"date-time":"2002-10-29T13:56:52Z","timestamp":1035899812000},"page":"549-564","source":"Crossref","is-referenced-by-count":331,"title":["GO\u2010GARCH: a multivariate generalized orthogonal GARCH model"],"prefix":"10.1002","volume":"17","author":[{"given":"Roy","family":"van der Weide","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2002,10,28]]},"reference":[{"key":"e_1_2_8_2_1","first-page":"125","volume-title":"Risk Management and Analysis: Measuring and Modelling Financial Risk","author":"Alexander C","year":"1998"},{"key":"e_1_2_8_3_1","series-title":"Mastering Risk","first-page":"21","author":"Alexander C","year":"2001"},{"key":"e_1_2_8_4_1","article-title":"Principal component models for generating large GARCH covariance matrices","author":"Alexander C","year":"2002","journal-title":"Review of Banking, Finance and Monetary Economics"},{"key":"e_1_2_8_5_1","unstructured":"AlexanderC ChibumbaA.1996.Multivariate orthogonal factor GARCH. 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