Properties and estimation of garch(1,1) model

Povzetek

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.

Ključne besede

Modeli;

Podatki

Jezik:	Angleški jezik
Leto izida:	2005
Tipologija:	1.01 - Izvirni znanstveni članek
Organizacija:	UL FDV - Fakulteta za družbene vede
Založnik:	Fakulteta za družbene vede
UDK:	303
COBISS:	24315997
ISSN:	1854-0023
Št. ogledov:	653
Št. prenosov:	121
Ocena:	0 (0 glasov)
Metapodatki:

Ostali podatki

Sekundarni jezik:	Neznan jezik
Sekundarne ključne besede:	Models;
URN:	URN:NBN:SI
Vrsta dela (COBISS):	Delo ni kategorizirano
Strani:	str. 243-257
Letnik:	2
Zvezek:	ǂno. ǂ2
Čas izdaje:	2005
Ključne besede (UDK):	social sciences;družbene vede;methods of the social sciences;metode družbenih ved;
ID:	1467971