Asymptotic theory for a factor GARCH model

Christian Matthias Hafner () and Arie PREMINGER

No 2006071, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over 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.

Keywords: multivariate GARCH; factor model; geometric ergodicity; maximum likelihood; consistency; asymptotic normality (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2006-09-01
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Related works:
Journal Article: ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:cor:louvco:2006071

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