A simple efficient GMM estimator of GARCH models

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.

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Year of publication:	2001-02-13
Authors:	Skoglund, Jimmy
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	GARCH \| GARCH-M \| efficient GMM

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Extent:	application/pdf
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 0434 31 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005423831