Chapter 7. Estimating GARCH Models by Quasi-Maximum Likelihood
Published Online: 14 JUL 2010
DOI: 10.1002/9780470670057.ch7
Copyright © 2010 John Wiley & Sons Ltd
Book Title
GARCH Models: Structure, Statistical Inference and Financial Applications
Additional Information
How to Cite
Francq, C. and Zakoïan, J.-M. (2010) Estimating GARCH Models by Quasi-Maximum Likelihood, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch7
Publication History
- Published Online: 14 JUL 2010
- Published Print: 23 JUL 2010
ISBN Information
Print ISBN: 9780470683910
Online ISBN: 9780470670057
- Summary
- Chapter
Keywords:
- estimating GARCH models by quasi-maximum likelihood (QML);
- (QML) method, relevant for GARCH models;
- conditional QML method - conditional on initial values;
- asymptotic properties - of quasi-maximum likelihood estimator (QMLE);
- application of method - to ARMA-GARCH model estimation;
- ARCH(1) case - numerical evaluation of asymptotic variance;
- nonstationary ARCH(1) - strict stationarity constraint, not satisfied in ARCH(1) case;
- estimation of ARMA-GARCH models - by quasi-maximum likelihood;
- proofs of asymptotic results;
- asymptotic normality of QMLE of GARCH model - holding true under general conditions
Summary
This chapter contains sections titled:
Conditional Quasi-Likelihood
Estimation of ARMA-GARCH Models by Quasi-Maximum Likelihood
Application to Real Data
Proofs of the Asymptotic Results*
Bibliographical Notes
Exercises