The efficiency of the estimators of the parameters in GARCH processes

Details The efficiency of the estimators of the parameters in GARCH processes The efficiency of the estimators of the parameters in GARCH processes

2004-06-22

arxiv.org/abs/math/0406432v1

Annals of Statistics 2004, Vol. 32, No. 2, 633-655

Mathematics

Statistics Theory

Scientific paper

10.1214/009053604000000120

We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-maximum likelihood and the likelihood estimators are discussed in detail. We show that the maximum likelihood estimator is optimal. If the tail of the distribution of the innovations is polynomial, even a quasi-maximum likelihood estimator based on exponential density performs better than the standard normal density-based quasi-likelihood estimator of Lee and Hansen and Lumsdaine.

Affiliated with

Also associated with

No associations

Rating

The efficiency of the estimators of the parameters in GARCH processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The efficiency of the estimators of the parameters in GARCH processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The efficiency of the estimators of the parameters in GARCH processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-669875