On asymptotic properties of the QLM estimators for GARCH models

This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.

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Year of publication:	2013-04-05
Authors:	Cavicchioli, Maddalena
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 33.2013, 2, p. 959-966
Publisher:	AccessEcon
Subject:	GARCH models \| asymptotically stationary process \| consistency \| asymptotic normality \| asymptotic variance matrix

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Extent:	application/pdf
Type of publication:	Article
Classification:	C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010635348

﻿On asymptotic properties of the QLM estimators for GARCH models

On asymptotic properties of the QLM estimators for GARCH models