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August 2004 Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Christian Francq, Jean-Michel Zakoïan
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Bernoulli 10(4): 605-637 (August 2004). DOI: 10.3150/bj/1093265632

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.

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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

Information

Published: August 2004
First available in Project Euclid: 23 August 2004

zbMATH: 1067.62094
MathSciNet: MR2076065
Digital Object Identifier: 10.3150/bj/1093265632

Keywords: ARMA , asymptotic normality , consistency , GARCH , heteroscedastic time series, maximum likelihood estimation

Rights: Copyright © 2004 Bernoulli Society for Mathematical Statistics and Probability

Vol.10 • No. 4 • August 2004
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