On asymptotic properties of the QLM estimators for GARCH models

Maddalena Cavicchioli ()
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Maddalena Cavicchioli: Cà Foscari University of Venice

Economics Bulletin, 2013, vol. 33, issue 2, 959-966

Abstract: This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.

Keywords: GARCH models; asymptotically stationary process; consistency; asymptotic normality; asymptotic variance matrix. (search for similar items in EconPapers)
JEL-codes: C5 (search for similar items in EconPapers)
Date: 2013-04-05
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