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On asymptotic properties of the QLM estimators for GARCH models

Author

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  • Maddalena Cavicchioli

    (Cà Foscari University of Venice)

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.

Suggested Citation

  • Maddalena Cavicchioli, 2013. "On asymptotic properties of the QLM estimators for GARCH models," Economics Bulletin, AccessEcon, vol. 33(2), pages 959-966.
    • Handle: RePEc:ebl:ecbull:eb-12-00766
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    References listed on IDEAS

    as
    1. Christian Francq & Jean‐Michel Zakoïan, 2012. "Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models," Econometrica, Econometric Society, vol. 80(2), pages 821-861, March.
    2. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
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    More about this item

    Keywords

    GARCH models; asymptotically stationary process; consistency; asymptotic normality; asymptotic variance matrix.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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