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

Arie Preminger and Giuseppe Storti

No 2006068, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: 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.

Keywords: GARCH (1; 1); least squares estimation; consistency; asymptotic normality; law of the iterated logarithm (search for similar items in EconPapers)
JEL-codes: C13 C15 C22 (search for similar items in EconPapers)
Date: 2006-08
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2006068

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