Ling, Shiqing; McAleer, Michael - Institute of Social and Economic Research (ISER), Osaka … - 2001
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established. Consistency of the quasi- maximum likelihood estimator (QMLE) is proved under only the second-order...