ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover and integrated GARCH. We then s...

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Veröffentlicht in:Econometric theory 2009-04, Vol.25 (2), p.336-363
Hauptverfasser: Hafner, Christian M., Preminger, Arie
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic methods
Asymptotic theory
Cauchy Schwarz inequality
Causality
Econometric models
Econometrics
Economic models
Ergodic theory
GARCH models
Innovations
Markov chains
Mathematical vectors
Matrices
Maximum likelihood estimation
Maximum likelihood method
Parametric models
Random variables
Stochastic models
Studies
Sufficient conditions
Volatility
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Beschreibung
Zusammenfassung:This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi–maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth-order moment of the innovations.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466608090117