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Asymptotics for Quasi-Maximum Likelihood Estimators of GARCH(1,2) Model Under Dependent Innovations
SLU, Centre of Biostochastics.
SLU, Centre of Biostochastics.
2003 (English)Report (Other academic)
Abstract [en]

In this paper, we investigate the asymptotic properties of the quasi-maximum likelihood estimator (quasi-MLE) for GARCH(1,2) model under stationary innovations. Consistency of the global quasi-MLE and asymptotic normality of the local quasi-MLE are obtained, which extend the previous results for GARCH(1,1) under weaker conditions.

Place, publisher, year, edition, pages
Sveriges Lantbruksuniversitet, 2003. , 14 p.
, Research Report, Centre of Biostochastics, ISSN 1651-8543 ; 2003-5
Keyword [en]
GARCH model, consistency, asymptotic normality, dependent error
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
URN: urn:nbn:se:umu:diva-63725OAI: diva2:582503
Available from: 2013-01-04 Created: 2013-01-04 Last updated: 2013-10-08Bibliographically approved

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Yu, Jun
Probability Theory and Statistics

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ReferencesLink to record
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