## The Annals of Statistics

### Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach

#### Abstract

This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form Xt=σtZt, where the unobservable volatility σt is a parametric function of (Xt−1, …, Xtp, σt−1, …, σtq) for some p, q≥0, and (Zt) is standardized i.i.d. noise. We assume that these models are solutions to stochastic recurrence equations which satisfy a contraction (random Lipschitz coefficient) property. These assumptions are satisfied for the popular GARCH, asymmetric GARCH and exponential GARCH processes. Exploiting the contraction property, we give conditions for the existence and uniqueness of a strictly stationary solution (Xt) to the stochastic recurrence equation and establish consistency and asymptotic normality of the QMLE. We also discuss the problem of invertibility of such time series models.

#### Article information

Source
Ann. Statist. Volume 34, Number 5 (2006), 2449-2495.

Dates
First available in Project Euclid: 23 January 2007

http://projecteuclid.org/euclid.aos/1169571804

Digital Object Identifier
doi:10.1214/009053606000000803

Mathematical Reviews number (MathSciNet)
MR2291507

Zentralblatt MATH identifier
1108.62094

#### Citation

Straumann, Daniel; Mikosch, Thomas. Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach. Ann. Statist. 34 (2006), no. 5, 2449--2495. doi:10.1214/009053606000000803. http://projecteuclid.org/euclid.aos/1169571804.

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