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Limit results for the empirical process of squared residuals in GARCH models

István Berkes and Lajos Horvath

Stochastic Processes and their Applications, 2003, vol. 105, issue 2, 271-298

Abstract: We study the asymptotic behavior of the empirical distribution function and the empirical process of squared residuals. We prove the Glivenko-Cantelli theorem for the empirical distribution function. We show that the two-parameter empirical process converges to a Gaussian process.

Keywords: GARCH(p; q) Residuals Weak convergence Martingales Parameter estimation (search for similar items in EconPapers)
Date: 2003
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