Simple Estimators for GARCH Models: Supplemental Appendix

13 Pages Posted: 13 Jan 2017 Last revised: 19 Jan 2017

Date Written: January 11, 2017

Abstract

Contained herein are detailed proofs of all the Lemmas that support the main Theorems discussed in the paper, "Simple Estimators for GARCH models."

Original paper can be found at: https://ssrn.com/abstract=2897867

Keywords: GARCH models, closed form estimation, heavy tails, instrumental variables, regular variation

JEL Classification: C13, C22, C58

Suggested Citation

Prono, Todd, Simple Estimators for GARCH Models: Supplemental Appendix (January 11, 2017). Available at SSRN: https://ssrn.com/abstract=2897868 or http://dx.doi.org/10.2139/ssrn.2897868

Todd Prono (Contact Author)

Federal Reserve Board ( email )

20th and Constitution Ave NW
Washington, DC 20551
United States

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