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

István Berkes, Lajos Horvath and Piotr Kokoszka

Econometric Theory, 2003, vol. 19, issue 4, 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. István Berkes and Lajos Horváth were supported by the Hungarian National Foundation for Scientific Research, grant T 29621. Piotr Kokoszka and Lajos Horváth were supported by NATO grant PST.CLG.977607.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:19:y:2003:i:04:p:565-586_19

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