Abstract
We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by a GARCH model. Results are obtained under mild conditions.
Citation
Christian Francq. Jean-Michel Zakoïan. "Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes." Bernoulli 10 (4) 605 - 637, August 2004. https://doi.org/10.3150/bj/1093265632
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