Minimum Hellinger Distance Estimation of a Univariate GARCH Process

Roger Kadjo, Ouagnina Hili and Aubin N'dri

Journal of Mathematics Research, 2017, vol. 9, issue 3, 80-94

Abstract: In this paper, we determine the Minimum Hellinger Distance estimator of a stationary GARCH process. We construct an estimator of the parameters based on the minimum Hellinger distance method. Under conditions which ensure the $\phi$-mixing of the GARCH process, we establish the almost sure convergence and the asymptotic normality of the estimator.

Keywords: Hellinger distance estimation; GARCH process; $\phi$-mixing process; consistence; asymptotic normality (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:jmrjnl:v:9:y:2017:i:3:p:80-94

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