ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
Christian Hafner () and
Econometric Theory, 2009, vol. 25, issue 2, 336-363
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 quasiâ€“maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth-order moment of the innovations.
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Working Paper: Asymptotic theory for a factor GARCH model (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:02:p:336-363_09
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