A Simple Efficient GMM Estimator of GARCH Models

Posted: 30 Mar 2013

Date Written: March 28, 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.

Keywords: GARCH, efficient GMM, conditional variance, efficient estimation

Suggested Citation

Skoglund, Jimmy, A Simple Efficient GMM Estimator of GARCH Models (March 28, 2001). Available at SSRN: https://ssrn.com/abstract=2241031

Jimmy Skoglund (Contact Author)

SAS Institute Inc. ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

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