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

Abstract

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

Prono, Todd, 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 (February 15, 2019). Available at SSRN: https://ssrn.com/abstract=3347210 or http://dx.doi.org/10.2139/ssrn.3347210

Todd Prono (Contact Author)

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