A simple efficient GMM estimator of GARCH models

Jimmy Skoglund

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. -- GARCH ; GARCH-M ; efficient GMM

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Year of publication:	Febr. 2001 ; [Elektronische Ressource]
Other Persons:	Skoglund, Jimmy (contributor)
Institutions:	Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 32 S., 278,94 KB)
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 434
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	nBibliography Systemvoraussetzungen: Acrobat reader
Other identifiers:	hdl:10419/56239 [Handle]
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10001600059