ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and B-mixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth order moment of the innovations.