A GARCH (1,1) estimator with (almost) no moment conditions on the error term

A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditionalmomen t of some order. We establish the consistency, asymptotic normality and the law of iterated logarithm for our estimate. The finite sample properties are assessed by means of an extensive simulation study.

MoreLess

Year of publication:	2006-08
Authors:	PREMINGER, Arie ; STORTI, Giuseppe
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	GARCH (1 \| 1) \| least squares estimation \| consistency \| asymptotic normality \| law of the iterated logarithm

More details

Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2006068
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005008182