Ling, Shiqing; Zhu, Ke - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown … that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the … GARCH model is consistent and asymptotically normal, but if the innovations are asymmetric, it is not as efficient as that …