When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood: Supplemental Appendix
15 Pages Posted: 2 Apr 2019
Date Written: February 15, 2019
Contained herein are detailed proofs of the lemmas that support the theorems presented in the main paper under the same title. In addition, this supplemental appendix also contains an additional theorem (and accompanying proof) that is referenced, but not included, in the main paper.
Keywords: GARCH models, closed form estimation, heavy tails, instrumental variables, regular variation
JEL Classification: C13, C22, C58
Suggested Citation: Suggested Citation