Simple Estimators for GARCH Models: Supplemental Appendix
13 Pages Posted: 13 Jan 2017 Last revised: 19 Jan 2017
Date Written: January 11, 2017
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: Suggested Citation