2003•Unpublished venueRequires access

Asymptotics for Quasi-Maximum Likelihood Estimators of GARCH(1,2) Model Under Dependent Innovations

Yingfu Xie, Jun Boo Yu

Abstract

In this paper, we investigate the asymptotic properties of the quasi-maximum likelihood estimator (quasi-MLE) for GARCH(1,2) model under stationary innovations. Consistency of the global quasi-MLE and asymptotic normality of the local quasi-MLE are obtained, which extend the previous results for GARCH(1,1) under weaker conditions.

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Key concepts: Estimator, Asymptotic distribution, Mathematics, Quasi-maximum likelihood, Autoregressive conditional heteroskedasticity, Consistency (knowledge bases), Strong consistency, Maximum likelihood