Asymptotic theory for a factor GARCH model
(2006)
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- Abstract
- This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over 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.
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Citations
Hafner, C., & Preminger, A. (2006). Asymptotic theory for a factor GARCH model (CORE Discussion Papers 2006/71). https://hdl.handle.net/2078.5/128476