Francq, Christian; Sucarrat, Genaro - Volkswirtschaftliche Fakultät, … - 2013
Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA representation. The advantage of the estimator is that it...