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| Maddalena Cavicchioli |
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| ''On asymptotic properties of the QLM estimators for GARCH models'' |
| ( 2013, Vol. 33 No.2 ) |
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| This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models. |
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| Keywords: GARCH models, asymptotically stationary process, consistency,
asymptotic normality, asymptotic variance matrix. |
JEL: C5 - Econometric Modeling: General
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| Manuscript Received : Oct 30 2012 | | Manuscript Accepted : Apr 05 2013 |
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