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A simple efficient GMM estimator of GARCH models
Working paper

A simple efficient GMM estimator of GARCH models

Jimmy Skoglund
SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, 434
2001

Abstract

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.

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