A Simple Efficient GMM Estimator of GARCH Models
Posted: 30 Mar 2013
Date Written: March 28, 2001
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
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