A Closed-Form Asymptotic Variance-Covariance Matrix for the Maximum Likelihood Estimator of the GARCH(1,1) Model

Jun Ma

Working Papers from University of Washington, Department of Economics

Abstract: This paper presents a closed-form asymptotic variance-covariance matrix of the Maximum Likelihood Estimators (MLE) for the GARCH(1,1) model. Starting from the standard asymptotic result, a closed form expression for the information matrix of the MLE is derived via a local approximation. The closed form variance-covariance matrix of MLE for the GARCH(1,1) model can be obtained by inverting the information matrix. The Monte Carlo simulation experiments show that this closed form expression works well in the admissible region of parameters.

Date: 2006-10, Revised 2006-10
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Persistent link: https://EconPapers.repec.org/RePEc:udb:wpaper:uwec-2006-11-r

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