QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

Juan Carlos Escanciano

Econometric Theory, 2009, vol. 25, issue 02, pages 561-570

Abstract: This note proves the consistency and asymptotic normality of the quasi 52) for the local QMLE in semistrong GARCH(1,1) models. In particular, no restrictions on the conditional mean are imposed. Our proofs closely follow those in Francq and Zako 637) for independent and identically distributed innovations.

Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:02:p:561-570_09

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