A simple efficient GMM estimator of GARCH models

Jimmy Skoglund ()
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Jimmy Skoglund: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

No 434, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.

Keywords: GARCH; GARCH-M; efficient GMM (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2001-02-13
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0434

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