Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205)

Several stochastic properties are considered for generalized autoregressive conditional heteroscedasticity (GARCH) models of time series with constant conditional correlation (CCC). Here, based on strong stationarity conditions, results are presented concerning the asymptotic properties, such as strong consistency and asymptotic normality, of the quasi-maximum likelihood (QML) estimator for the unknown parameters of the model under consideration.