Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (Q4883104)
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scientific article; zbMATH DE number 894891
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| English | Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models |
scientific article; zbMATH DE number 894891 |
Statements
Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (English)
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1 September 1996
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autoregressive conditional heteroskedasticity model
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consistency
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asymptotic normality
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quasi-maximum likelihood estimator
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GARCH(1,1)
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IGARCH(1,1) models
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unit root
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conditional variance
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limiting distribution
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covariance matrix
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0.8797053098678589
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0.8728958368301392
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0.8724931478500366
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0.8687154054641724
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0.8534963726997375
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