Quasi Maximum Likelihood Inference for Stochastic Volatility Models

In the present paper we consider the Quasi Maximum Likelihood (QML) procedure for the estimation of stationary Stochastic Volatility models. We prove the consistency of the QML estimators and compute explicitly their asymptotic variances. This allows us to obtain also consistent estimators of the asymptotic variances in explicit forms. The knowledge of the asymptotic variance-covariance matrix of the QML estimators gives a concrete possibility for the use of the classical testing procedures. Our results are related to those obtained in Ruiz (1994) and Bartolucci and De Luca (2001) (2003)