JOURNAL ARTICLE

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Christian FrancqJean‐Michel Zakoïan

Year: 2004 Journal:   Bernoulli Vol: 10 (4)   Publisher: Chapman and Hall London

Abstract

We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by a GARCH model. Results are obtained under mild conditions.

Keywords:
Mathematics Autoregressive conditional heteroskedasticity Heteroscedasticity Autoregressive model Estimator Strong consistency Asymptotic distribution Consistency (knowledge bases) Econometrics Maximum likelihood STAR model Applied mathematics Statistics Autoregressive integrated moving average Volatility (finance) Time series

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569
Cited By
8.30
FWCI (Field Weighted Citation Impact)
29
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0.98
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Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Market Dynamics and Volatility
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics
Stochastic processes and financial applications
Social Sciences →  Economics, Econometrics and Finance →  Finance

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