results on univariate and multivariate GARCH type models where our estimator coincides with the QMLE. In the EGARCH(1,1)model …

used by Nelson (1991) for the EGARCH(1,1) model under explicit but non observable conditions. In practice, we propose to …, called Stable QMLE (SQMLE), is strongly consistent when the observations follow an invertible EGARCH(1,1) model. We also give …