GARCH processes: structure and estimation
Berkes, Istv\'an ; Horv\'ath, Lajos ; Kokoszka, Piotr
Bernoulli, Tome 9 (2003) no. 3, p. 201-227 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We study the structure of a GARCH$(p,q)$ sequence. We show that the conditional variance can be written as an infinite sum of the squares of the previous observations and that the representation is unique. We prove the consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of the GARCH$(p,q)$ sequence under mild conditions.
Publié le : 2003-04-14
Classification:  asymptotic normality,  consistency,  GARCH$(p,q)$ sequence,  martingales,  quasi-maximum likelihood 
@article{1068128975,
     author = {Berkes, Istv\'an and Horv\'ath, Lajos and Kokoszka, Piotr},
     title = {GARCH processes: structure and estimation},
     journal = {Bernoulli},
     volume = {9},
     number = {3},
     year = {2003},
     pages = { 201-227},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1068128975}
}

Berkes, Istv\'an; Horv\'ath, Lajos; Kokoszka, Piotr. GARCH processes: structure and estimation. Bernoulli, Tome 9 (2003) no. 3, pp.  201-227. http://gdmltest.u-ga.fr/item/1068128975/