An Asymptotic Expansion in the GARCH(l, 1) Model

Oliver Linton

Econometric Theory, 1997, vol. 13, issue 4, 558-581

Abstract: We develop order T−1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximations.

Date: 1997
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Working Paper: An Asymptotic Expansion in the Garch(1,1) Model (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:04:p:558-581_00

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