ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE

Istv n Berkes, Lajos Horv th and Piotr Kokoszka

Econometric Theory, 2003, vol. 19, issue 04, pages 565-586

Abstract: We propose an estimator for the maximal moment exponent of a GARCH(1,1) sequence. We establish its consistency asymptotic normality with rate n 1 2. Finite sample properties are investigated by means of a small simulation study.The research for this paper was partially supported by NSF grant INT-0223262. Istv n Berkes and Lajos Horv th were supported by the Hungarian National Foundation for Scientific Research, grant T 29621. Piotr Kokoszka and Lajos Horv th were supported by NATO grant PST.CLG.977607.

Date: 2003
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