Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/73143 
Authors: 
Year of Publication: 
2013
Series/Report no.: 
IWQW Discussion Papers No. 03/2013
Version Description: 
April 18, 2013
Publisher: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Nürnberg
Abstract: 
In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extends the results of the standard GARCH model to the class of polynomial augmented GARCH models which contains many commonly employed GARCH models as special cases. The results are obtained under mild conditions.
Subjects: 
asymptotic normality
consistency
polynomial augmented GARCH models
quasi-maximum likelihood estimation
Document Type: 
Working Paper

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