A Tour in the Asymptotic Theory of GARCH Estimation

Christian Francq and Jean-Michel Zakoian

No 2008-03, Working Papers from Center for Research in Economics and Statistics

Abstract: The main estimation methods of the univariate GARCH models are reviewed. A special attention is givento the asymptotic results and the quasi-maximum likelihood method.Keywords : Asymptotic properties of estimators, Efficient estimation, GARCH model, Quasi MaximumLikelihood Estimation, Weighted Least-Squares.

Pages: 31
Date: 2008
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