ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

Christian Matthias Hafner () and Arie Preminger

Econometric Theory, 2009, vol. 25, issue 02, pages 336-363

Abstract: This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth-order moment of the innovations.

Date: 2009

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Related works:
Working Paper: Asymptotic theory for a factor GARCH model (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:02:p:336-363_09

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