Scandinavian Working Papers in Economics
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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 434:
A simple efficient GMM estimator of GARCH models

Jimmy Skoglund ()

Abstract: 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; GARCH-M; efficient GMM; (follow links to similar papers)

JEL-Codes: C12; C13; C22; (follow links to similar papers)

31 pages, February 13, 2001

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