SSE/EFI Working Paper Series in Economics and Finance
A simple efficient GMM estimator of GARCH models
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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