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Properties and estimation of garch(1,1) model
ID Posedel, Petra (Author)

URLURL - Presentation file, Visit http://mrvar.fdv.uni-lj.si/pub/mz/mz2.1/posedel.pdf This link opens in a new window

Abstract
We study in depth the properties of the GARCH(1,1) model and the assumptions on the parameter space under which the process is stationary. In particular, we prove ergodicity and strong stationarity for the conditional variance (squared volatility) of the process. We show under which conditions higher order moments of the GARCH(1,1) process exist and conclude that GARCH processes are heavy-tailed. We investigate the sampling behavior of the quasi-maximum likelihood estimator of the Gaussian GARCH(1,1) model. A boundedconditional fourth moment of the rescaled variable (the ratio of the disturbance to the conditional standard deviation) is sufficient for the result. Consistent estimation and asymptotic normality are demonstrated, as well as consistent estimation of the asymptotic covariance matrix.

Language:English
Work type:Not categorized
Typology:1.01 - Original Scientific Article
Organization:FDV - Faculty of Social Sciences
Year:2005
Number of pages:Str. 243-257
Numbering:no. 2
PID:20.500.12556/RUL-22455 This link opens in a new window
UDC:303
ISSN on article:1854-0023
COBISS.SI-ID:24315997 This link opens in a new window
Publication date in RUL:11.07.2014
Views:830
Downloads:155
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Record is a part of a journal

Title:Metodološki zvezki
Shortened title:Metodol. zv.
Publisher:Fakulteta za družbene vede
ISSN:1854-0023
COBISS.SI-ID:215795712 This link opens in a new window

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