Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 0434: A simple efficient GMM estimator of GARCH models

Jimmy Skoglund ()
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Jimmy Skoglund: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

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

JEL-codes: C12; C13; C22

31 pages, February 13, 2001

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