GARCH processes:: structure and estimation

被引:274
作者
Berkes, I
Horváth, L
Kokoszka, P
机构
[1] Hungarian Acad Sci, A Renyi Inst Math, H-1364 Budapest, Hungary
[2] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA
[3] Utah State Univ, Dept Math & Stat, Logan, UT 84322 USA
关键词
asymptotic normality; consistency; GARCH(p; q); sequence; martingales; quasi-maximum likelihood;
D O I
10.3150/bj/1068128975
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the structure of a GARCH(p, q) sequence. We show that the conditional variance can be written as an infinite sum of the squares of the previous observations and that the representation is unique. We prove the consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of the GARCH(p, q) sequence under mild conditions.
引用
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页码:201 / 227
页数:27
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